A default system with overspilling contagion

DOI10.3934/FMF.2024003zbMATH Open1537.91343MaRDI QIDQ6549692FDOQ6549692

Authors: Delia Coculescu, Gabriele Visentin

Publication date: 4 June 2024

Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)

Recommendations

An extension of Davis and Lo's contagion model
Modelling default contagion using multivariate phase-type distributions
A set-valued Markov chain approach to credit default
Credit Contagion in a Long Range Dependent Macroeconomic Factor Model
An adaptive dynamical model of default contagion

contagion stochastic differential equations credit risk credit derivatives enlargement of filtrations non-Markovian processes

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Credit risk (91G40) General theory of stochastic processes (60G07) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

Quantitative risk management. Concepts, techniques and tools
On models of default risk.
Semi-martingales et grossissement d'une filtration
Title not available (Why is that?)
Default times, no-arbitrage conditions and changes of probability measures
Title not available (Why is that?)
Title not available (Why is that?)
CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
Title not available (Why is that?)
Changes of filtrations and of probability measures
Credit contagion and aggregate losses
Dynamic hedging of portfolio credit risk in a Markov copula model
Pricing and hedging of portfolio credit derivatives with interacting default intensities
Title not available (Why is that?)
Hazard processes and martingale hazard processes
Quelques applications de la théorie générale des processus. I
A set-valued Markov chain approach to credit default
Nouveaux résultats sur le grossissement des tribus
Title not available (Why is that?)
Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
Optimal investment in credit derivatives portfolio under contagion risk
Up and down credit risk
Dependent defaults and credit migrations
Large portfolio credit risk modeling
Basket CDS pricing with interacting intensities
General dynamic term structures under default risk
Dynamics of multivariate default system in random environment
Thin times and random times' decomposition
Title not available (Why is that?)
From the decompositions of a stopping time to risk premium decompositions
MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH
Interconnected banks and systemically important exposures
Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems

This page was built for publication: A default system with overspilling contagion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6549692)