Tyck till om SwePub Sök här!
onr:"swepub:oai:gup.ub.gu.se/134464"
Search: onr:"swepub:oai:gup.ub.gu.se/134464" > Modelling default c...
- 1 of 1
- Previous record
- Next record
- To hitlist
Modelling default contagion using multivariate phase-type distributions
-
- Herbertsson, Alexander, 1977 (author)
- Gothenburg University,Göteborgs universitet,Institutionen för nationalekonomi med statistik,Department of Economics
- (creator_code:org_t)
- 2011
- 2011
- English.
- In: Review of Derivatives Research. ; 14:1, s. 1-36
- Journal article (peer-reviewed)
Abstract
Subject headings
Close
- We model dynamic credit portfolio dependence by using default contagion in an intensity-based framework. Two different portfolios (with ten obligors), one in the European auto sector, the other in the European financial sector, are calibrated against their market CDS spreads and the corresponding CDS-correlations. After the calibration, which are perfect for the banking portfolio, and good for the auto case, we study several quantities of importance in active credit portfolio management. For example, implied multivariate default and survival distributions, multivariate conditional survival distributions, implied default correlations, expected default times and expected ordered default times. The default contagion is modelled by letting individual intensities jump when other defaults occur, but be constant between defaults. This model is translated into a Markov jump process, a so called multivariate phase-type distribution, which represents the default status in the credit portfolio. Matrix-analytic methods are then used to derive expressions for the quantities studied in the calibrated portfolios.
Subject headings
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Keyword
- Portfolio credit risk
- Intensity-based models
- Dynamic dependence modelling
- CDS-correlation
- Default contagion
- Markov jump processes
- Multivariate phase-type distributions
- Matrix-analytic methods
Publication and Content Type
- ref (subject category)
- art (subject category)
Find in a library
- Review of Derivatives Research (Search for host publication in LIBRIS)
To the university's database
- 1 of 1
- Previous record
- Next record
- To hitlist
Find more in SwePub
- By the author/editor
- Herbertsson, Ale ...
- About the subject
-
- SOCIAL SCIENCES
- SOCIAL SCIENCES
- and Economics and Bu ...
- and Economics
- Articles in the publication
- Review of Deriva ...
- By the university
- University of Gothenburg
Search outside SwePub
- Extend your search to:
- Google Book Search
- Google Scholar
Kungliga biblioteket hanterar dina personuppgifter i enlighet med EU:s dataskyddsförordning (2018), GDPR. Läs mer om hur det funkar här.
Så här hanterar KB dina uppgifter vid användning av denna tjänst.
- Copyright © LIBRIS - National Library Systems
- LIBRIS.kb.se
