Joint distributions of portfolio losses and exotic portfolio products

DOI10.1142/S0219024907004354MaRDI QIDQ5169989zbMATH OpenOpenAlexFDO

Authors Friedel Epple, Sam Morgan, Lutz Schlögl

Publication date 17 July 2014

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024907004354

zbMATH Keywords

CDOscorrelation modellingpath-dependent portfolio derivatives

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

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Cites work

• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• The Scaling and Squaring Method for the Matrix Exponential Revisited

Cited in

(3)

• Hedging default risks of CDOs in Markovian contagion models
• SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL
• An extension of Davis and Lo's contagion model

Describes a project that uses

Uses Software

• MATLAB expm

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