Portfolio credit risk with predetermined default orders

DOI10.1080/14697688.2015.1013147zbMath1465.91123OpenAlexW2050961172MaRDI QIDQ5001115

Bin Wang, Lian Tang, Kai-Nan Xiang

Publication date: 16 July 2021

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

Full work available at URL: https://doi.org/10.1080/14697688.2015.1013147

zbMATH Keywords

matrix exponentialportfolio credit riskimmersion propertydefault order

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

Cites Work

• Unnamed Item
• Mathematical methods for financial markets.
• Basket CDS pricing with interacting intensities
• Affine processes and applications in finance
• Hazard rate for credit risk and hedging defaultable contingent claims
• Dynamic hedging of portfolio credit risk in a Markov copula model
• Background filtrations and canonical loss processes for top-down models of portfolio credit risk
• Affine Point Processes and Portfolio Credit Risk
• Up and down credit risk
• A Top-Down Approach to Multiname Credit
• Time-Changed Birth Processes and Multiname Credit Derivatives
• PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
• A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
• BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
• Nineteen Dubious Ways to Compute the Exponential of a Matrix
• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
• RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES
• Credit risk modeling with affine processes
• A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• Credit risk: Modelling, valuation and hedging

This page was built for publication: Portfolio credit risk with predetermined default orders