A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries

DOI10.1080/03610926.2013.844251zbMath1302.91184OpenAlexW3125492769MaRDI QIDQ5419654

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

Publication date: 11 June 2014

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.844251

zbMATH Keywords

Markov copula modelportfolio credit riskcommon shocksrandom recoveriesstochastic spreads

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Credit risk (91G40)

Related Items (3)

Conditional Markov chains: properties, construction and structured dependence ⋮ Dynamic hedging of portfolio credit risk in a Markov copula model ⋮ A Survey of Dynamic Representations and Generalizations of the Marshall–Olkin Distribution

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• VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
• Counterparty Credit Risk, Collateral and Funding

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