Credit Contagion in a Long Range Dependent Macroeconomic Factor Model

DOI10.1007/978-3-642-18412-3_4zbMath1237.91219OpenAlexW2117659553MaRDI QIDQ5198557

Serena Fuschini, Francesca Biagini, Claudia Klüppelberg

Publication date: 8 August 2011

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

Full work available at URL: https://doi.org/10.1007/978-3-642-18412-3_4

zbMATH Keywords

fractional Brownian motionlong-range dependencecredit risklatent processmacroeconomic variables processcontagion modelingcredit intensitypricing defaultable derivatives

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk

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