Pricing CDS index tranches under thinning-dependence structure with regime switching
From MaRDI portal
Publication:6582033
Recommendations
- A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives
- Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
- A reduced model with thinning-dependence structure
- Basket CDS pricing with default intensities using a regime-switching shot-noise model
- Credit risk dependence modeling with dynamic copula: an application to CDO tranches
Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 722978 (Why is no real title available?)
- scientific article; zbMATH DE number 1093829 (Why is no real title available?)
- scientific article; zbMATH DE number 2150787 (Why is no real title available?)
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- AMERICAN OPTIONS WITH REGIME SWITCHING
- An introduction to copulas.
- Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
- CDO pricing with nested Archimedean copulas
- CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
- Cluster-based extension of the generalized Poisson loss dynamics and consistency with single names
- Defaultable options in a Markovian intensity model of credit risk
- Discretely observed Brownian motion governed by telegraph process: estimation
- Dynamic hedging of portfolio credit risk in a Markov copula model
- Estimation of Markov regime-switching regression models with endogenous switching
- Fast simulations in credit risk
- Foundations of modern probability. In 2 volumes
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Occupation times and Bessel densities
- On Markov‐modulated Exponential‐affine Bond Price Formulae
- On a correlated aggregate claims model with thinning-dependence structure
- On a reduced form credit risk model with common shock and regime switching
- Option pricing and Esscher transform under regime switching
- Pension funding problem with regime-switching geometric Brownian motion assets and liabilities
- Pricing the credit default swap rate for jump diffusion default intensity processes
- The t Copula and Related Copulas
This page was built for publication: Pricing CDS index tranches under thinning-dependence structure with regime switching
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6582033)
