The crash-NIG factor model

DOI10.1007/S13385-013-0073-9MaRDI QIDQ487572zbMATH OpenOpenAlexFDO

Authors Anna Schlösser, R. Zagst

Publication date 22 January 2015

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13385-013-0073-9

zbMATH Keywords

CDOcopuladefault probabilityeconomic scenario generationfactor model correlationhidden Markov modelportfolio lossregime-switching

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

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Cites work

• A generic one-factor Lévy model for pricing synthetic CDOs
• Continuous-time Markov chains. An applications-oriented approach

Cited in

(1)

• State dependent correlations in the Vasicek default model

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