Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes (Q2873143)
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scientific article; zbMATH DE number 6249475
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes |
scientific article; zbMATH DE number 6249475 |
Statements
23 January 2014
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collateralized debt obligations
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loss process
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single tranche CDO
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ESB
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top-down model
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discrete tenor
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market model
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time-inhomogeneous Lévy processes
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Libor rate
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affine processes
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extended Kalman filter
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iTraxx
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Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes (English)
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In the present article, portfolio credit risk models are exploited. The authors specify dynamic term structure models with discrete tenor structure for credit portfolios in a top-down setting driven by time-inhomogeneous Lévy processes and provide conditions for the absence of arbitrage, explicit examples, an affine setup which includes contagion, and pricing formulas for single tranche collateralized debt obligations with their derivatives. An extended Kalman filter following \textit{Z. Eksi} and \textit{D. Filipovic}'s [``A dynamic affine factor model for the pricing of CDOs'', working paper (2012)] is applied to calibrate the observed iTraxx data.
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