Contagion models a la carte: which one to choose?

DOI10.1080/14697688.2012.708428MaRDI QIDQ5746772zbMATH OpenOpenAlexFDO

Authors Harry Zheng

Publication date 8 February 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2012.708428

zbMATH Keywords

contagioncorrelation modellingcounterparty riskportfolio credit derivatives

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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Cites work

• Approximate basket options valuation for a jump-diffusion model
• Basket CDS pricing with interacting intensities
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• Efficient hybrid methods for portfolio credit derivatives
• scientific article; zbMATH DE number 1006369 (Why is no real title available?)
• The multivariate hazard construction

Cited in

(5)

• Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
• Weak convergence of path-dependent SDEs in basket credit default swap pricing with contagion risk
• Concentration Risk in Credit Portfolios
• A factor contagion model for portfolio credit derivatives
• Multivariate conditional hazard rate functions -- an overview

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