Levy Density Based Intensity Modeling of the Correlation Smile
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References listed on IDEAS
- Balakrishna, B S, 2007. "Delayed Default Dependency and Default Contagion," MPRA Paper 14921, University Library of Munich, Germany, revised 15 May 2007.
- Edward I. Altman & Brooks Brady & Andrea Resti & Andrea Sironi, 2005. "The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications," The Journal of Business, University of Chicago Press, vol. 78(6), pages 2203-2228, November.
- Lindskog, Filip & McNeil, Alexander J., 2003. "Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 33(02), pages 209-238, November.
- Damiano Brigo & Andrea Pallavicini & Roberto Torresetti, 2008. "Default correlation, cluster dynamics and single names: The GPCL dynamical loss model," Papers 0812.4163, arXiv.org.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Balakrishna, B S, 2010. "Levy Subordinator Model of Default Dependency," MPRA Paper 21386, University Library of Munich, Germany.
- Balakrishna, B S, 2010. "Levy Subordinator Model: A Two Parameter Model of Default Dependency," MPRA Paper 26274, University Library of Munich, Germany.
More about this item
KeywordsDefault Risk; Default Correlation; Default Intensity; Intensity Model; Levy Density; CDO; Monte Carlo;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-02 (All new papers)
- NEP-ECM-2009-05-02 (Econometrics)
- NEP-RMG-2009-05-02 (Risk Management)
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