Credit risk and contagion via self-exciting default intensity

DOI10.1007/s10436-015-0259-zzbMath1369.91188OpenAlexW2124298830MaRDI QIDQ902175

Jia Shen, Robert J. Elliott

Publication date: 7 January 2016

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-015-0259-z

zbMATH Keywords

Markov chainfrailtydefault contagioncredit derivativeself-exciting process

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Credit risk (91G40)

Related Items (6)

Structural credit risk modelling with Hawkes jump diffusion processes ⋮ Credit risk contagion coupling with sentiment contagion ⋮ Interacting default intensity with a hidden Markov process ⋮ A default contagion model for pricing defaultable bonds from an information based perspective ⋮ Credit risk contagion based on asymmetric information association ⋮ Financial contagion in banking networks with community structure

Cites Work

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• Term structure modelling of defaultable bonds
• The law of large numbers for self-exciting correlated defaults
• Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
• Filtered likelihood for point processes
• Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
• Default clustering in large portfolios: typical events
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Credit risk: Modelling, valuation and hedging

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