Pricing And Hedging Of Portfolio Credit Derivatives With Interacting Default Intensities
AbstractWe consider reduced-form models for portfolio credit risk with interacting default intensities. In this class of models default intensities are modeled as functions of time and of the default state of the entire portfolio, so that phenomena such as default contagion or counterparty risk can be modeled explicitly. In the present paper this class of models is analyzed by Markov process techniques. We study in detail the pricing and the hedging of portfolio-related credit derivatives such as basket default swaps and collaterized debt obligations (CDOs) and discuss the calibration to market data.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.
Volume (Year): 11 (2008)
Issue (Month): 06 ()
Contact details of provider:
Web page: http://www.worldscinet.com/ijtaf/ijtaf.shtml
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Takada, Hideyuki & Sumita, Ushio, 2011. "Credit risk model with contagious default dependencies affected by macro-economic condition," European Journal of Operational Research, Elsevier, Elsevier, vol. 214(2), pages 365-379, October.
- Henri Pag\`es & Dylan Possamai, 2012.
"A mathematical treatment of bank monitoring incentives,"
- Henri Pages & Dylan PossamaÃ¯, 2014. "A mathematical treatment of bank monitoring incentives," Finance and Stochastics, Springer, vol. 18(1), pages 39-73, January.
- PagÃ¨s, H. & Possamai, D., 2012. "A mathematical treatment of bank monitoring incentives," Working papers, Banque de France 378, Banque de France.
- PossamaÃ¯, Dylan & PagÃ¨s, Henri, . "A mathematical treatment of bank monitoring incentives," Economics Papers from University Paris Dauphine 123456789/12313, Paris Dauphine University.
- Areski Cousin & Diana Dorobantu & Didier Rulliï¿½re, 2013.
"An extension of Davis and Lo's contagion model,"
Quantitative Finance, Taylor & Francis Journals,
Taylor & Francis Journals, vol. 13(3), pages 407-420, February.
- Jean-David Fermanian & Olivier Vigneron, 2012. "On break-even correlation: the way to price structured credit derivatives by replication," Papers 1204.2251, arXiv.org.
- PagÃ¨s, Henri, 2013.
"Bank monitoring incentives and optimal ABS,"
Journal of Financial Intermediation, Elsevier,
Elsevier, vol. 22(1), pages 30-54.
- Sebastian Heise & Reimer Kuehn, 2012. "Derivatives and Credit Contagion in Interconnected Networks," Papers 1202.3025, arXiv.org.
- Emilio Barucci & Marco Tolotti, 2009. "The dynamics of social interaction with agentsâ€™ heterogeneity," Working Papers 189, Department of Applied Mathematics, UniversitÃ Ca' Foscari Venezia.
- Frey, RÃ¼diger & Backhaus, Jochen, 2010. "Dynamic hedging of synthetic CDO tranches with spread risk and default contagion," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(4), pages 710-724, April.
- Herbertsson, Alexander & Jang, Jiwook & Schmidt, Thorsten, 2009. "Pricing basket default swaps in a tractable shot-noise model," Working Papers in Economics 359, University of Gothenburg, Department of Economics.
- Areski Cousin & StÃ©phane CrÃ©pey & Yu Kan, 2012. "Delta-hedging correlation risk?," Review of Derivatives Research, Springer, Springer, vol. 15(1), pages 25-56, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim).
If references are entirely missing, you can add them using this form.