Affine point processes and portfolio credit risk

SIAM Journal on Financial Mathematics

Volumn 1, Issue 1, 2010, Pages 642-665

  Errais, Eymen ^a   Giesecke, Kay ^b   Goldberg, Lisa R ^c  

^a CreditFlow Partners   (United States)

^b Stanford University   (United States)

^c MSCI Barra Inc   (United States)

Author keywords

Affine jump diffusion; Correlated default; Hawkes process; Index and tranche swap; Portfolio credit derivative; Self exciting point process; Transform

Indexed keywords

EID: 79952929383     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/090771272     Document Type: Article

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