Risk management in credit risk portfolios with correlated assets.

DOI10.1016/S0167-6687(02)00096-3zbMath1055.91039OpenAlexW2007250058MaRDI QIDQ1413309

Nicole Bäuerle

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00096-3

zbMATH Keywords

Lévy processAssociationPositive dependenceStructural credit risk model

Mathematics Subject Classification ID

Related Items (6)

Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market ⋮ On the probability of default in a market with price clustering and jump risk ⋮ Expected return given uncertain recovery rate and information asymmetry ⋮ Dependence properties and comparison results for Lévy processes ⋮ Valuing risky debt: a new model combining structural information with the reduced-form approach ⋮ Stochastic Bounds for Discrete-time Claim Processes with Correlated Risks

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