A default system with overspilling contagion

DOI10.3934/FMF.2024003MaRDI QIDQ6549692zbMATH OpenFDO

Authors Delia Coculescu, Gabriele Visentin

Publication date 4 June 2024

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

zbMATH Keywords

contagionstochastic differential equationscredit riskcredit derivativesenlargement of filtrationsnon-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)

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• A set-valued Markov chain approach to credit default
• Basket CDS pricing with interacting intensities
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• Changes of filtrations and of probability measures
• Credit contagion and aggregate losses
• Default times, no-arbitrage conditions and changes of probability measures
• Dependent defaults and credit migrations
• Dynamic hedging of portfolio credit risk in a Markov copula model
• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
• Dynamics of multivariate default system in random environment
• From the decompositions of a stopping time to risk premium decompositions
• General dynamic term structures under default risk
• Hazard processes and martingale hazard processes
• Interconnected banks and systemically important exposures
• Large portfolio credit risk modeling
• MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH
• Nouveaux résultats sur le grossissement des tribus
• On models of default risk.
• Optimal investment in credit derivatives portfolio under contagion risk
• PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
• Pricing and hedging of portfolio credit derivatives with interacting default intensities
• Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
• Quantitative risk management. Concepts, techniques and tools
• Quelques applications de la théorie générale des processus. I
• Semi-martingales et grossissement d'une filtration
• Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems
• Thin times and random times' decomposition
• Up and down credit risk

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