Add to ORKGAbstract. The goal of this paper is to specify dynamic term structure models with discrete tenor structure for credit portfolios in a top-down setting driven by time-inhomogeneous Lévy processes. We provide a new framework, conditions for absence of arbitrage, explicit examples, an affine setup which includes contagion, and pricing formulas for single tranche collateralized debt obligations (STCDOs) and options on STCDOs. A calibration to iTraxx data with an extended Kalman filter shows an excellent fit over the full observation period. The calibration is done on a set of CDO tranche spreads ranging across six tranches and three maturities
We introduce a novel class of credit risk models in which the drift of the survival process of a fir...
Abstract. The pricing of collateralized debt obligations and other basket credit derivatives is cont...
This paper is a primer on the hedging and the risk management of CDO tranches. It intends to provide...
The goal of this paper is to specify dynamic term structure models with discrete tenor structure for...
This paper provides a unifying approach for valuing contingent claims on a portfolio of credits, suc...
This paper provides a unifying approach for valuing contingent claims on a portfolio of credits, suc...
This paper proposes a top-down model for pricing Collateralized Debt Obligation (CDOs). Our proposal...
We value synthetic CDO tranche spreads, index CDS spreads, kth-to-default swap spreads and tranchele...
Abstract. The two main approaches in credit risk are the structural approach pioneered in Merton (19...
In this thesis, we will study hierarchical structural models of portfolio credit defaults that incor...
Abstract. We value synthetic CDO tranche spreads, index CDS spreads, kth-to-default swap spreads and...
This chapter addresses the pricing of two popular portfolio credit derivatives: first-to-default swa...
This work as been published as a book chapter. Due to restrictions imposed by the Editor, it is no l...
This thesis consist of four papers on dynamic dependence modelling in portfolio credit risk. The emp...
Abstract. As the market for credit baskets and single tranche bespoke CDOs keeps growing very rapidl...
We introduce a novel class of credit risk models in which the drift of the survival process of a fir...
Abstract. The pricing of collateralized debt obligations and other basket credit derivatives is cont...
This paper is a primer on the hedging and the risk management of CDO tranches. It intends to provide...
The goal of this paper is to specify dynamic term structure models with discrete tenor structure for...
This paper provides a unifying approach for valuing contingent claims on a portfolio of credits, suc...
This paper provides a unifying approach for valuing contingent claims on a portfolio of credits, suc...
This paper proposes a top-down model for pricing Collateralized Debt Obligation (CDOs). Our proposal...
We value synthetic CDO tranche spreads, index CDS spreads, kth-to-default swap spreads and tranchele...
Abstract. The two main approaches in credit risk are the structural approach pioneered in Merton (19...
In this thesis, we will study hierarchical structural models of portfolio credit defaults that incor...
Abstract. We value synthetic CDO tranche spreads, index CDS spreads, kth-to-default swap spreads and...
This chapter addresses the pricing of two popular portfolio credit derivatives: first-to-default swa...
This work as been published as a book chapter. Due to restrictions imposed by the Editor, it is no l...
This thesis consist of four papers on dynamic dependence modelling in portfolio credit risk. The emp...
Abstract. As the market for credit baskets and single tranche bespoke CDOs keeps growing very rapidl...
We introduce a novel class of credit risk models in which the drift of the survival process of a fir...
Abstract. The pricing of collateralized debt obligations and other basket credit derivatives is cont...
This paper is a primer on the hedging and the risk management of CDO tranches. It intends to provide...