A contagion process with self-exciting jumps in credit risk applications
DOI10.1080/17442508.2022.2041641zbMath1528.91077arXiv2202.12946MaRDI QIDQ6104946
No author found.
Publication date: 26 June 2023
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2202.12946
Abel equation of second kindcollateralized debt obligationsaffine jump-diffusioncontagion processjoint default risk
Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40) Financial networks (including contagion, systemic risk, regulation) (91G45) Jump processes on discrete state spaces (60J74)
Cites Work
- Unnamed Item
- Credit events and the valuation of credit derivatives of basket type
- On Cox processes and credit risky securities
- Term structure modelling of defaultable bonds
- Pricing CDO tranches in an intensity based model with the mean reversion approach
- A Markov modulated dynamic contagion process with application to credit risk
- Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions
- Pricing vulnerable power exchange options in an intensity based framework
- A note on the large homogeneous portfolio approximation with the Student-\(t\) copula
- A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
- Affine Point Processes and Portfolio Credit Risk
- DYNAMIC CDO TERM STRUCTURE MODELING
- A dynamic contagion process
- Pricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White Model
- BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
- The Markovian self-exciting process
- A reduced‐form model for pricing defaultable bonds and credit default swaps with stochastic recovery
- Spectra of some self-exciting and mutually exciting point processes
This page was built for publication: A contagion process with self-exciting jumps in credit risk applications
