Modelling default contagion using multivariate phase-type distributions

DOI10.1007/s11147-010-9052-3zbMath1213.91140OpenAlexW3121895069MaRDI QIDQ539143

Alexander Herbertsson

Publication date: 27 May 2011

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-010-9052-3

zbMATH Keywords

matrix-analytic methodsMarkov jump processesportfolio credit riskintensity-based modelsCDS-correlationdefault contagiondynamic dependence modellingmultivariate phase-type distributions

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10) Credit risk (91G40)

Related Items (9)

Analysis of a multivariate claim process ⋮ Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path ⋮ Parameter estimation of discrete multivariate phase-type distributions ⋮ CONTAGION EFFECTS AND COLLATERALIZED CREDIT VALUE ADJUSTMENTS FOR CREDIT DEFAULT SWAPS ⋮ CREDIT RISK VALUATION WITH RATING TRANSITIONS AND PARTIAL INFORMATION ⋮ COUNTERPARTY RISK FOR CREDIT DEFAULT SWAP WITH STATES RELATED DEFAULT INTENSITY PROCESSES ⋮ Credit risk in an economy with new firms arrivals ⋮ Joint densities of hitting times for finite state Markov processes ⋮ A Survey of Dynamic Representations and Generalizations of the Marshall–Olkin Distribution

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• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• Bankruptcy, Counterparty Risk, and Contagion*
• A General Formula for Valuing Defaultable Securities
• Credit risk: Modelling, valuation and hedging

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