Multiname and multiscale default modeling

Multiscale Modeling and Simulation

Volumn 7, Issue 4, 2009, Pages 1956-1978

  Fouque, Jean Pierre ^a   Sircar, Ronnie ^b   Sølna, Knut ^c  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b Princeton University   (United States)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Asymptotic analysis; Defaults; Stochastic volatility

Indexed keywords

CAMBRIDGE; CAMBRIDGE UNIVERSITY; COLLATERALIZED DEBT OBLIGATIONS; CORRELATED FLUCTUATIONS; CREDIT DERIVATIVES; DEFAULT DISTRIBUTION; DEFAULTS; FINANCIAL MARKET; HAZARD RATES; LOSS DISTRIBUTION; MULTISCALE MODELS; MULTISCALES; ORIGINAL MODEL; PERTURBATION PROBLEMS; STOCHASTIC PARAMETERS; STOCHASTIC VOLATILITY; TIME-SCALES;

ASYMPTOTIC ANALYSIS; HAZARDS; INDUSTRY; STOCHASTIC SYSTEMS;

STOCHASTIC MODELS;

EID: 83455249944     PISSN: 15403459     EISSN: 15403467     Source Type: Journal    
DOI: 10.1137/080726719     Document Type: Article

References (21)

1. E. Bayraktar and B. Yang, Multi-scale time-changed birth processes for pricing multi-name credit derivatives, Appl. Math. Finance, to appear.
2. P. Cotton, J.-P. Fouque, G. Papanicolaou, and K. R. Sircar, Stochastic volatility corrections for interest rate models, Math. Finance, 14 (2004), pp. 173-200. (Pubitemid 38613742)
3. X. Ding, K. Giesecke, and P. I. Tomecek, Time-changed birth processes and multi-name credit derivatives, Oper. Res., to appear.
4. D. Duffie and N. Gârleanu, Risk and valuation of collateralized debt obligations, Financial Analysts Journal, 57 (2001), pp. 41-59. (Pubitemid 33674131)
5. D. Duffie and K. Singleton, Credit Risk, Princeton University Press, Princeton, NJ, 2003.
6. A. Eckner, Computational techniques for basic affine models of portfolio credit risk, J. Comput. Finance, to appear.
7. A. Elizalde, Credit Risk Models IV: Understanding and Pricing CDOs, http://www. abelelizalde.com (2005).
8. E. Errais, K. Giesecke, and L. Goldberg, Affine Point Processes and Portfolio Credit Risk, working paper, Stanford University, Stanford, CA, 2007.
9. J.-P. Fouque, G. Papanicolaou, and R. Sircar, Derivatives in Financial Markets with Stochastic Volatility, Cambridge University Press, Cambridge, UK, 2000.
10. J.-P. Fouque, G. Papanicolaou, R. Sircar, and K. Solna, Multiscale stochastic volatility asymptotics, Multiscale Model. Simul., 2 (2003), pp. 22-42.
11. J.-P. Fouque, R. Sircar, and K. Sølna, Stochastic volatility effects on defaultable bonds, Appl. Math. Finance, 13 (2006), pp. 215-244. (Pubitemid 44843737)
12. J.-P. Fouque, B. C. Wignall, and X. Zhou, Modeling correlated defaults: First passage model under stochastic volatility, J. Comput. Finance, 11 (2008), pp. 43-78.
13. J.-P. Fouque and X. Zhou, Perturbed Gaussian copula, in Econometrics and Risk Management, Vol. 22, T. Fomby, J.-P. Fouque, and K. Solna, eds., Emerald Group, Bingley, UK, 2008.
14. J. Hull and A. White, Valuation of a CDO and an n-th to default CDS without Monte Carlo simulation, J. Derivatives, 12 (2004), pp. 8-23.
15. T. Hurd, A. Kuznetsov, and Z. Zhou, Credit Risk Using Time Changed Brownian Motions, Technical report, McMaster University, Hamilton, ON, Canada, 2008.
16. D. Li, On default correlation: A copula approach, J. Fixed Income, 9 (2000), pp. 43-54.
17. A. Lopatin and T. Misirpashaev, Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss, Technical report, NumeriX, Warrenville, IL, 2007.
18. A. Mortensen, Semi-analytical valuation of basket credit derivatives in intensity-based models, J. Derivatives, 13 (2006), pp. 8-26.
19. E. Papageorgiou and R. Sircar, Multiscale intensity models and name grouping for valuation of multi-name credit derivatives, Appl. Math. Finance, to appear.
20. P. Schönbucher, Credit Derivatives Pricing Models, Wiley, New York, 2003.
21. P. Schönbucher, Portfolio Losses and the Term Structure of Loss Transition Rates: A New Methodology for the Pricing of Portfolio Credit Derivatives, Technical report, ETH Zurich, Zurich, Switzerland, 2006.