A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock Interpretation, Calibration and Hedging Issues

DOI10.1142/9789814571647_0003zbMath1314.91224OpenAlexW3125493682MaRDI QIDQ5256599

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

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_0003

zbMATH Keywords

calibrationpricingMarkov copula modelportfolio credit riskcommon shocksbasket credit derivativesMin-variance hedging

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 (4)

Time-changed CIR default intensities with two-sided mean-reverting jumps ⋮ Conditional Markov chains: properties, construction and structured dependence ⋮ Dynamic hedging of portfolio credit risk in a Markov copula model ⋮ Exogenous shock models: analytical characterization and probabilistic construction

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