Contagion models a la carte: which one to choose?

DOI10.1080/14697688.2012.708428zbMath1280.91184OpenAlexW2123117881MaRDI QIDQ5746772

Harry Zheng

Publication date: 8 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.708428

zbMATH Keywords

contagioncounterparty riskportfolio credit derivativescorrelation modelling

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40)

Related Items (2)

Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk ⋮ A factor contagion model for portfolio credit derivatives

Cites Work

• Unnamed Item
• Approximate basket options valuation for a jump-diffusion model
• Basket CDS pricing with interacting intensities
• The multivariate hazard construction
• Efficient hybrid methods for portfolio credit derivatives
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS

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