Chapter 11 Valuation of Basket Credit Derivatives in the Credit Migrations Environment

Handbooks in Operations Research and Management Science

Volumn 15, Issue C, 2007, Pages 471-507

  Bielecki, Tomasz R ^a   Crépey, Stéphane ^b   Jeanblanc, Monique ^b   Rutkowski, Marek ^c  

^a Illinois Institute of Technology   (United States)

^b UNIVERSITÉ D EVRY VAL D ESSONNE   (France)

^c UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 77950601158     PISSN: 09270507     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S0927-0507(07)15011-8     Document Type: Review

References (30)

1. Albanese C., Campolieti J., Chen O., and Zavidonov A. Credit barrier model. Risk 16 6 (2003) 109-113
2. Albanese C., and Chen O. Discrete credit barrier models. Quantitative Finance 5 (2004) 247-256
3. Albanese C., and Chen O. Pricing equity default swaps. Risk 18 6 (2004) 83-87
4. Becherer D., and Schweizer M. Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes. Annals of Applied Probability 15 (2003) 1111-1144
5. Bielecki, T.R. (2003). A multivariate Markov model for simulating dependent credit migrations. Working paper
6. Bielecki T.R., and Rutkowski M. Credit Risk: Modeling, Valuation and Hedging (2002), Springer-Verlag, Berlin/Heidelberg/New York
7. Bielecki T.R., and Rutkowski M. Intensity-based valuation of basket credit derivatives. In: Yong J. (Ed). Mathematical Finance (2002), World Scientific, Singapore 12-27
8. Bielecki T.R., and Rutkowski M. Dependent defaults and credit migrations. Applicationes Mathematicae 30 (2003) 121-145
9. Bielecki, T.R., Vidozzi, A., Vidozzi, L. (2006). An efficient approach to valuation of basket credit products and options on ratings triggered step-up bonds. Working paper. IIT
10. Chen, L., Filipović, D. (2003). Pricing credit default swaps with default correlation and counterparty risk. Working paper
11. Chen, L., Filipović, D. (2005). Simple model for credit migration and spread curves. Finance and Stochastics, in press
12. Davis, M., Esparragoza, J.C. (2004). A queueing network approach to portfolio credit risk. Working paper. Imperial College, London
13. Douady R., and Jeanblanc M. A rating-based model for credit derivatives. European Investment Review 1 (2002) 17-29
14. Ethier H.J., and Kurtz T.G. Markov Processes. Characterization and Convergence (1986), Wiley, New York
15. Frey, R., Backhaus, J. (2004). Portfolio credit risk models with interacting default intensities: A Markovian approach. Working paper
16. Frey R., and McNeal A. Dependent defaults in models of portfolio credit risk. Journal of Risk 6 1 (2003) 59-92
17. Giesecke K. Correlated default with incomplete information. Journal of Banking and Finance 28 (2004) 1521-1545
18. Giesecke K., and Weber S. Credit contagion and aggregate losses. Journal of Economic Dynamics and Control 30 (2002) 741-767
19. Gregory J., and Laurent J.-P. Analytical approaches to the pricing and risk management of basket credit derivatives and CDOs. Journal of Risk 7 4 (2004) 103-122
20. Hull J.C., and White A. Valuing credit default swaps II. Modeling default correlations. Journal of Derivatives 8 3 (2001) 12-22
21. Jamshidian F. Valuation of credit default swap and swaptions. Finance and Stochastics 8 (2004) 343-371
22. Jarrow R.A., and Yu F. Counterparty risk and the pricing of defaultable securities. Journal of Finance 56 (2001) 1765-1799
23. Kloeden P.E., and Platen E. Numerical Solution of Stochastic Differential Equations. second ed (1995), Springer, Berlin/Heidelberg/New York
24. Kunita H., and Watanabe S. Notes on transformations of Markov processes connected with multiplicative functionals. Memoirs of the Faculty of Science, Kyushu University A 17 (1963) 181-191
25. Laurent, J.-P., Gregory, J. (2003). Basket default swaps, CDOs and factor copulas. Working paper
26. Li D. On default correlation: A copula function approach. Journal of Fixed Income 9 (2000) 43-54
27. Palmowski Z., and Rolski T. A technique for exponential change of measure for Markov processes. Bernoulli 8 6 (2002) 767-785
28. Schönbucher, P.J., Schubert, D. (2001). Copula-dependent default risk in intensity models. Working paper. University of Bonn
29. Schmock, U., Seiler, D. (2002). Modeling dependent credit risks with mixture models. Working paper
30. Yu F. Correlated defaults in intensity-based models. Mathematical Finance 17 (2007) 155-173