Modelling default contagion using multivariate phase-type distributions
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Bibliographic InfoArticle provided by Springer in its journal Review of Derivatives Research.
Volume (Year): 14 (2011)
Issue (Month): 1 (April)
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Web page: http://www.springerlink.com/link.asp?id=102989
Portfolio credit risk; Intensity-based models; Dynamic dependence modelling; CDS-correlation; Default contagion; Markov jump processes; Multivariate phase-type distributions; Matrix-analytic methods; Primary G33; G13; Secondary C02; C63; G32;
Find related papers by JEL classification:
- Pri - Economic Systems - - - - -
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- Sec - - - - - -
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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- Sidje, Roger B. & Stewart, William J., 1999. "A numerical study of large sparse matrix exponentials arising in Markov chains," Computational Statistics & Data Analysis, Elsevier, vol. 29(3), pages 345-368, January.
- P. Collin-Dufresne & R. Goldstein & J. Hugonnier, 2004. "A General Formula for Valuing Defaultable Securities," Econometrica, Econometric Society, vol. 72(5), pages 1377-1407, 09.
- Giesecke, Kay & Weber, Stefan, 2006. "Credit contagion and aggregate losses," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 741-767, May.
- Robert A. Jarrow, 2001. "Counterparty Risk and the Pricing of Defaultable Securities," Journal of Finance, American Finance Association, vol. 56(5), pages 1765-1799, October.
- Søren Asmussen, 2000. "Matrix-analytic Models and their Analysis," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 27(2), pages 193-226.
- Stefan Weber & Kay Giesecke, 2003. "Credit Contagion and Aggregate Losses," Computing in Economics and Finance 2003 246, Society for Computational Economics.
- Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2013. "Density approach in modelling multi-defaults," Working Papers hal-00870492, HAL.
- Bielecki, Tomasz R. & Cousin, Areski & Crépey, Stéphane & Herbertsson, Alexander, 2011. "Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model (Previous title: Dynamic Modeling of Portfolio Credit Risk with Common Shocks)," Working Papers in Economics 502, University of Gothenburg, Department of Economics, revised 12 Oct 2012.
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