RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES

DOI10.1111/j.1467-9965.2011.00491.xzbMath1282.91354OpenAlexW3124160426MaRDI QIDQ4906515

Rama Cont, Andreea Minca

Publication date: 28 February 2013

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00491.x

zbMATH Keywords

inverse problemrelative entropystochastic controldualitymodel calibrationdefault riskcollateralized debt obligationportfolio credit derivativesintensity controlreduced-form modelstop-down credit risk models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (16)

Doubly Stochastic CDO Term Structures ⋮ Interacting default intensity with a hidden Markov process ⋮ Dynamics of multivariate default system in random environment ⋮ On the drawdowns and drawups in diffusion-type models with running maxima and minima ⋮ Reduced-form framework for multiple ordered default times under model uncertainty ⋮ A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches ⋮ MIMICKING FINITE DIMENSIONAL MARGINALS OF A CONTROLLED DIFFUSION WITH JUMPS ⋮ Dynamic hedging of synthetic CDO tranches with spread risk and default contagion ⋮ An extension of Davis and Lo's contagion model ⋮ STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS ⋮ Forward equations for option prices in semimartingale models ⋮ Measure distorted arrival rate risks and their rewards ⋮ A set-valued Markov chain approach to credit default ⋮ EQUITY CORRELATIONS IMPLIED BY INDEX OPTIONS: ESTIMATION AND MODEL UNCERTAINTY ANALYSIS ⋮ Portfolio credit risk with predetermined default orders ⋮ Robust risk measurement and model risk

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