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Modelling default contagion using multivariate phase-type distributions

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  • Alexander Herbertsson

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  • Alexander Herbertsson, 2011. "Modelling default contagion using multivariate phase-type distributions," Review of Derivatives Research, Springer, vol. 14(1), pages 1-36, April.
    • Handle: RePEc:kap:revdev:v:14:y:2011:i:1:p:1-36
    DOI: 10.1007/s11147-010-9052-3
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    References listed on IDEAS

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    1. Giesecke, Kay & Weber, Stefan, 2006. "Credit contagion and aggregate losses," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 741-767, May.
    2. Marco Avellaneda & Lixin Wu, 2001. "Credit Contagion: Pricing Cross-Country Risk In Brady Debt Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(06), pages 921-938.
    3. 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.
    4. P. Collin-Dufresne & R. Goldstein & J. Hugonnier, 2004. "A General Formula for Valuing Defaultable Securities," Econometrica, Econometric Society, vol. 72(5), pages 1377-1407, September.
    5. Robert A. Jarrow & Fan Yu, 2008. "Counterparty Risk and the Pricing of Defaultable Securities," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 20, pages 481-515, World Scientific Publishing Co. Pte. Ltd..
    6. 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, June.
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    Citations

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    Cited by:

    1. Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2015. "Density approach in modelling successive defaults," Post-Print hal-00870492, HAL.
    2. Surya, Budhi Arta, 2022. "Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path," Journal of Multivariate Analysis, Elsevier, vol. 191(C).
    3. Qi-Ming He & Jiandong Ren, 2016. "Analysis of a Multivariate Claim Process," Methodology and Computing in Applied Probability, Springer, vol. 18(1), pages 257-273, March.
    4. Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2013. "Density approach in modelling multi-defaults," Working Papers hal-00870492, HAL.
    5. Qi-Ming He & Jiandong Ren, 2016. "Parameter Estimation of Discrete Multivariate Phase-Type Distributions," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 629-651, September.
    6. Silvia Centanni & Immacolata Oliva & Paola Tardelli, 2017. "Credit Risk in an Economy with New Firms Arrivals," Methodology and Computing in Applied Probability, Springer, vol. 19(3), pages 891-912, September.
    7. 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.
    8. Hansjörg Albrecher & Mogens Bladt & Jorge Yslas, 2022. "Fitting inhomogeneous phase‐type distributions to data: the univariate and the multivariate case," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 44-77, March.

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    More about this item

    Keywords

    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;
    All these keywords.

    JEL classification:

    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • 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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