Background filtrations and canonical loss processes for top-down models of portfolio credit risk

DOI10.1007/s00780-008-0080-xzbMath1199.91252OpenAlexW2042400771MaRDI QIDQ2271727

Philippe Ehlers, Philipp J. Schönbucher

Publication date: 8 August 2009

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/117945

zbMATH Keywords

point processescredit riskdefault correlation\(\mathbb{H}\)-hypothesisgeneralized Cox processesimmersion property

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Credit risk (91G40)

Related Items

Doubly Stochastic CDO Term Structures, Pricing and trading credit default swaps in a hazard process model, Dynamics of multivariate default system in random environment, Reduced-form framework for multiple ordered default times under model uncertainty, Nonexistence of Markovian time dynamics for graphical models of correlated default, RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES, GRAPHICAL MODELS FOR CORRELATED DEFAULTS, DYNAMIC CDO TERM STRUCTURE MODELING, Portfolio credit risk with predetermined default orders

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On Cox processes and credit risky securities
• Hazard rate for credit risk and hedging defaultable contingent claims
• On Models of Default Risk
• Changes of filtrations and of probability measures
• A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Credit risk: Modelling, valuation and hedging