Time-changed birth processes and multiname credit derivatives

Operations Research

Volumn 57, Issue 4, 2009, Pages 990-1005

  Ding, Xiaowei ^a   Giesecke, Kay ^a   Tomecek, Pascal I ^b  

^a Stanford University   (United States)

^b JP Morgan Chase & Co   (United States)

Author keywords

Asset pricing, portfolio credit derivatives; Banks: Risk management; Birth process; Finance; Financial institutions; Hedging; Probability: Self exciting point processes; Time change

Indexed keywords

ASSET PRICING, PORTFOLIO CREDIT DERIVATIVES; BANKS: RISK MANAGEMENT; BIRTH PROCESS; FINANCIAL INSTITUTIONS; HEDGING; TIME CHANGE;

COMMERCE; COSTS; DECISION MAKING; ECONOMICS; FINANCIAL DATA PROCESSING; INVESTMENTS; RISK ASSESSMENT; RISK MANAGEMENT; SAFETY FACTOR;

RISK ANALYSIS;

EID: 69949097519     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.1080.0652     Document Type: Article

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