Modeling credit portfolio derivatives, including both a default and a prepayment feature

DOI10.1002/ASMB.1931MaRDI QIDQ6570852FDOQ6570852

Authors: Peter Hieber, Matthias Scherer 

Publication date: 10 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

Archimedean copuladefault riskprepayment riskportfolio default and prepayment model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE
• Sampling Archimedean copulas
• Sur les fonctions absolument monotones.

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