On the simulation of portfolios of interest rate and credit risk sensitive securities

DOI10.1016/j.ejor.2003.08.044zbMath1066.91058OpenAlexW2058766649MaRDI QIDQ1887920

Norbert J. Jobst, Stavros A. Zenios

Publication date: 22 November 2004

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2003.08.044

zbMATH Keywords

SimulationDefault riskCredit riskIntegrated product management

Mathematics Subject Classification ID

Related Items (10)

Cure events in default prediction ⋮ Valuation and risk assessment of participating life insurance in the presence of credit risk ⋮ Random effects model for credit rating transitions ⋮ Enhancing credit default swap valuation with meshfree methods ⋮ Hedging Market and Credit Risk in Corporate Bond Portfolios ⋮ Tracking bond indices in an integrated market and credit risk environment ⋮ A portfolio-based evaluation of affine term structure models ⋮ No-arbitrage conditions, scenario trees, and multi-asset financial optimization ⋮ Cash management using multi-stage stochastic programming ⋮ Path-dependent scenario trees for multistage stochastic programmes in finance

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Credit events and the valuation of credit derivatives of basket type
• Valuation of a credit swap of the basket type
• On Cox processes and credit risky securities
• Term structure modelling of defaultable bonds
• Point processes and queues. Martingale dynamics
• Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
• Tracking bond indices in an integrated market and credit risk environment
• Capturing the Correlations of Fixed-income Instruments
• Pricing Interest-Rate-Derivative Securities
• Credit risk: Modelling, valuation and hedging

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