INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA
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Publication:5299994
DOI10.1142/S0219024913500088zbMath1266.91119MaRDI QIDQ5299994
Stéphane Crépey, Dongli Wu, Monique Jeanblanc-Picqué
Publication date: 24 June 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)
Related Items (4)
Affine term structure models: A time‐change approach with perfect fit to market curves ⋮ A default contagion model for pricing defaultable bonds from an information based perspective ⋮ WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS ⋮ Dynamic hedging of portfolio credit risk in a Markov copula model
Cites Work
- What happens after a default: the conditional density approach
- Financial modeling. A backward stochastic differential equations perspective
- Progressive enlargement of filtrations with initial times
- Hedging CDO Tranches in a Markovian Environment
- About the Pricing Equations in Finance
- VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
- Counterparty Credit Risk, Collateral and Funding
- Credit risk: Modelling, valuation and hedging
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