A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective

DOI10.1142/9789814571647_0002zbMath1314.91223OpenAlexW3124321341MaRDI QIDQ5256598

Alexander Herbertsson, Tomasz R. Bielecki, Stéphane Crépey, Areski Cousin

Publication date: 19 June 2015

Published in: Recent Advances in Financial Engineering 2012 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789814571647_0002

zbMATH Keywords

credit derivativesMarkov copula modeldynamic hedgingportfolio credit riskcommon shocks

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

Related Items (7)

DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES ⋮ Inhomogeneous time change equations for Markov chains and their applications ⋮ A default contagion model for pricing defaultable bonds from an information based perspective ⋮ Credit risk in an economy with new firms arrivals ⋮ Conditional Markov chains: properties, construction and structured dependence ⋮ Dynamic hedging of portfolio credit risk in a Markov copula model ⋮ Portfolio credit risk with predetermined default orders

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