Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling

DOI10.1007/s00184-008-0213-4zbMath1433.91184OpenAlexW2031291388MaRDI QIDQ745333

Jessica Cariboni, Wim Schoutens

Publication date: 14 October 2015

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-008-0213-4

zbMATH Keywords

Ornstein-Uhlenbeck processsurvival probabilitycredit riskcredit default swapintensity-based model

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (13)

Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination ⋮ Exact simulation of tempered stable Ornstein–Uhlenbeck processes ⋮ On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes ⋮ A two-step test for the two-sample problem of processes of Ornstein-Uhlenbeck type ⋮ A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric \(\alpha \)-stable motions ⋮ Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes ⋮ Research on CDS pricing model with endogenous recovery rate ⋮ NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS ⋮ Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes ⋮ Mortality modelling with Lévy processes ⋮ A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches ⋮ Sato Processes in Default Modelling ⋮ Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling

Uses Software

• fminsearch

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