Dynamic Modeling of Portfolio Credit Risk with Common Shocks
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Publisher
Elsevier BV
Reference34 articles.
1. CVA computation for counterparty risk assessment in credit portfolios;S Assefa;Credit Risk Frontiers,2011
2. Up and down credit risk;T R Bielecki;Quantitative Finance,2010
3. Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model;T R Bielecki;Forthcoming in Journal of Optimization Theory and Applications
4. A Bottom-Up Dynamic Model of Portfolio Credit Risk: Part II: Common-Shock Interpretation, Calibration and Hedging Issues
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1. Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall–Olkin law;Statistics & Probability Letters;2016-07
2. Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching;Applied Mathematics and Computation;2014-03
3. Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model;Journal of Optimization Theory and Applications;2013-05-15
4. Simulation/Regression Pricing Schemes for CVAa Computations on CDO Tranches;SSRN Electronic Journal;2013
5. Time-Changed CIR Default Intensities with Two-Sided Mean-Reverting Jumps;SSRN Electronic Journal;2012
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