Computation of VaR for portfolios in intensity models

DOI10.1080/03610926.2023.2237221MaRDI QIDQ6579756zbMATH OpenFDO

Authors Shiyu Song, Ying Lu

Publication date 26 July 2024

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2023.2237221

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Affine point processes and portfolio credit risk
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Default clustering in large portfolios: typical events
• Hedging of a credit default swaption in the CIR default intensity model
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 1449652 (Why is no real title available?)
• Large portfolio asymptotics for loss from default
• Lévy Processes and Stochastic Calculus
• MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
• Saddlepoint approximations
• Saddlepoint approximations for continuous-time Markov processes
• Saddlepoint Approximations to the CDF of Some Statistics with Nonnormal Limit Distributions
• Saddlepoint methods for option pricing
• Stress testing for VaR and CVaR
• Time-changed birth processes and multiname credit derivatives

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