Computation of VaR for portfolios in intensity models

DOI10.1080/03610926.2023.2237221MaRDI QIDQ6579756

Shiyu Song, Ying Lu

Publication date: 26 July 2024

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

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Saddlepoint approximations for continuous-time Markov processes
• Hedging of a credit default swaption in the CIR default intensity model
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Default clustering in large portfolios: typical events
• Saddlepoint approximations
• Affine Point Processes and Portfolio Credit Risk
• Time-Changed Birth Processes and Multiname Credit Derivatives
• MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
• Lévy Processes and Stochastic Calculus
• Saddlepoint methods for option pricing
• LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT
• Saddlepoint Approximations to the CDF of Some Statistics with Nonnormal Limit Distributions
• Stress testing for VaR and CVaR

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