IDEAS home Printed from https://ideas.repec.org/h/spr/lnechp/978-3-642-15609-0_3.html
   My bibliography  Save this book chapter

Mathematical Preliminaries

In: Pricing and Risk Management of Synthetic CDOs

Author

Listed:
  • Anna Schlösser

    (Hedging and Derivatives Strategies)

Abstract

In this chapter the mathematical preliminaries relevant for this thesis are provided. First of all, we present the basic definitions and the central facts of the stochastic calculus. In the second section, one of the most popular reduced-form single-name credit risk models, namely the default intensity model is described. This model is going to be used in the further chapters for CDS and CDO modeling. We will not discuss the variety of the single-name credit risk models in this thesis, since we concentrate on the portfolio credit risk and correlation modeling. In the third section, the central facts and estimation algorithms of the Hidden Markov Models theory are covered. Finally, the structure of the rating migration matrices and computation of the migration probabilities is discussed in the fourth section.

Suggested Citation

  • Anna Schlösser, 2011. "Mathematical Preliminaries," Lecture Notes in Economics and Mathematical Systems, in: Pricing and Risk Management of Synthetic CDOs, chapter 0, pages 67-92, Springer.
    • Handle: RePEc:spr:lnechp:978-3-642-15609-0_3
    DOI: 10.1007/978-3-642-15609-0_3
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:lnechp:978-3-642-15609-0_3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.