Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes
type: Item
instance of: scholarly article
zbMATH Open document ID: 1290.91174
DOI: 10.1137/110827132
author: Ernst Eberlein
author: Zorana Grbac
author: Thorsten Schmidt
published in: SIAM Journal on Financial Mathematics
publication date: 2014-01-23T00:00:00Z
full work available at URL: https://arxiv.org/abs/1006.2012
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91-02
Mathematics Subject Classification ID: 60G35
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H15
zbMATH DE Number: 6249475
zbMATH Keywords: collateralized debt obligations
zbMATH Keywords: loss process
zbMATH Keywords: single tranche CDO
zbMATH Keywords: ESB
zbMATH Keywords: top-down model
zbMATH Keywords: discrete tenor
zbMATH Keywords: market model
zbMATH Keywords: time-inhomogeneous Lévy processes
zbMATH Keywords: Libor rate
zbMATH Keywords: affine processes
zbMATH Keywords: extended Kalman filter
zbMATH Keywords: iTraxx
MaRDI profile type: Publication
OpenAlex ID: W2176051485
arXiv ID: 1006.2012
title: Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes
review text: In the present article, portfolio credit risk models are exploited. The authors specify dynamic term structure models with discrete tenor structure for credit portfolios in a top-down setting driven by time-inhomogeneous Lévy processes and provide conditions for the absence of arbitrage, explicit examples, an affine setup which includes contagion, and pricing formulas for single tranche collateralized debt obligations with their derivatives. An extended Kalman filter following \textit{Z. Eksi} and \textit{D. Filipovic}'s [``A dynamic affine factor model for the pricing of CDOs'', working paper (2012)] is applied to calibrate the observed iTraxx data.
reviewed by: Gong Guanglu
description: scientific article; zbMATH DE number 6249475