A factor contagion model for portfolio credit derivatives

DOI10.1080/14697688.2014.976651zbMath1398.91572OpenAlexW2025432972MaRDI QIDQ4683088

Soon Won Kwon, Geon Ho Choe, Hyun Jin Jang

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.976651

zbMATH Keywords

credit derivativescontagion modelrecovery rateMarshall-Olkin copula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

A generalized error distribution copula-based method for portfolios risk assessment

Cites Work

• An introduction to copulas.
• Basket CDS pricing with interacting intensities
• Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas
• Thekth default time distribution and basket default swap pricing
• On pricing basket credit default swaps
• A General Formula for Valuing Defaultable Securities
• A Multivariate Exponential Distribution
• Contagion models a la carte: which one to choose?

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