CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES

DOI10.1142/S0219024907004342zbMath1291.91243MaRDI QIDQ5169978

Andrea Pallavicini, Damiano Brigo, Roberto Torresetti

Publication date: 17 July 2014

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

zbMATH Keywords

calibrationgeneralized Poisson processesloss distributionstochastic intensityspread dynamicscluster default dynamicscommon Poisson shock modelssingle name default dynamics

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Reliability and life testing (62N05) Credit risk (91G40)

Related Items (12)

PROBABILITY DENSITY OF RECOVERY RATE GIVEN DEFAULT OF A FIRM’S DEBT AND ITS CONSTITUENT TRANCHES ⋮ Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law ⋮ A reduced-form model for correlated defaults with regime-switching shot noise intensities ⋮ Pricing insurance premia: a top down approach ⋮ From insurance risk to credit portfolio management: a new approach to pricing CDOs ⋮ Dependent defaults and losses with factor copula models ⋮ Reduced-form framework for multiple ordered default times under model uncertainty ⋮ Unnamed Item ⋮ RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES ⋮ Dynamic hedging of portfolio credit risk in a Markov copula model ⋮ A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries ⋮ Local volatility dynamic models

Cites Work

• An Extension of Panjer's Recursion
• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling

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