INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES

DOI10.1142/S0219024920500399zbMath1457.91403OpenAlexW3048724050MaRDI QIDQ5148006

Charles Guy Njike Leunga, Donatien Hainaut

Publication date: 29 January 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500399

zbMATH Keywords

interest ratesmultiple curvesself-exciting processsimple forward Libor rate

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)

Related Items (1)

Multiple yield curve modelling with CBI processes

Cites Work

• Clustered Lévy processes and their financial applications
• Interest rate models -- theory and practice. With smile, inflation and credit
• CREDIT RISK AND INCOMPLETE INFORMATION: FILTERING AND EM PARAMETER ESTIMATION
• A TWO-FACTOR JUMP-DIFFUSION MODEL FOR PRICING CONVERTIBLE BONDS WITH DEFAULT RISK
• Interest Rate Modeling: Post-Crisis Challenges and Approaches
• A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
• Affine Point Processes and Portfolio Credit Risk
• MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING
• A model for interest rates with clustering effects
• BANK PANICS AND FIRE SALES, INSOLVENCY AND ILLIQUIDITY
• Multi-curve Construction
• Multiple curve Lévy forward price model allowing for negative interest rates
• Spectra of some self-exciting and mutually exciting point processes

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