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A Bottom-Up Dynamic...
A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries
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Bielecki, Tomasz R. (författare)
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Cousin, Areski (författare)
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Crépey, Stéphane (författare)
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- Herbertsson, Alexander, 1977 (författare)
- Gothenburg University,Göteborgs universitet,Institutionen för nationalekonomi med statistik,Department of Economics
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(creator_code:org_t)
- 2014-03-17
- 2014
- Engelska.
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Ingår i: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 43:7, s. 1362-1389
- Relaterad länk:
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https://gup.ub.gu.se...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- In Bielecki et al. (2014a), the authors introduced a Markov copula model of portfolio credit risk where pricing and hedging can be done in a sound theoretical and practical way. Further theoretical backgrounds and practical details are developed in Bielecki et al. (2014b,c) where numerical illustrations assumed deterministic intensities and constant recoveries. In the present paper, we show how to incorporate stochastic default intensities and random recoveries in the bottom-up modeling framework of Bielecki et al. (2014a) while preserving numerical tractability. These two features are of primary importance for applications like CVA computations on credit derivatives (Assefa et al., 2011; Bielecki et al., 2012), as CVA is sensitive to the stochastic nature of credit spreads and random recoveries allow to achieve satisfactory calibration even for “badly behaved” data sets. This article is thus a complement to Bielecki et al. (2014a), Bielecki et al. (2014b) and Bielecki et al. (2014c).
Ämnesord
- NATURVETENSKAP -- Matematik -- Beräkningsmatematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Computational Mathematics (hsv//eng)
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business (hsv//eng)
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- Common shocks
- Markov copula model
- Portfolio credit risk
- Random recoveries
- Stochastic spreads
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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