IDEAS home Printed from https://ideas.repec.org/r/hal/journl/hal-03679517.html
   My bibliography  Save this item

Basket default swaps, CDOs and factor copulas

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Xiao,Tim, 2018. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," EconStor Preprints 202075, ZBW - Leibniz Information Centre for Economics.
  2. Chen, Hua & MacMinn, Richard & Sun, Tao, 2015. "Multi-population mortality models: A factor copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 135-146.
  3. Kijima, Masaaki & Motomiya, Shin-ichi & Suzuki, Yoichi, 2010. "Pricing of CDOs based on the multivariate Wang transform," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2245-2258, November.
  4. Cousin, Areski & Laurent, Jean-Paul, 2008. "Comparison results for exchangeable credit risk portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1118-1127, June.
  5. Rösch, Daniel & Scheule, Harald, 2009. "Credit rating impact on CDO evaluation," Global Finance Journal, Elsevier, vol. 19(3), pages 235-251.
  6. White, Alan, 2018. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper 85331, University Library of Munich, Germany.
  7. Xiao, Tim, 2018. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," EconStor Preprints 203447, ZBW - Leibniz Information Centre for Economics.
  8. Xin Gao & Binlin Wu & Tobias Schäfer, 2017. "Introducing an analytical solution and an improved one-factor gaussian copula model for the pricing of heterogeneous CDOs," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-17, June.
  9. Dong Hwan Oh & Andrew J. Patton, 2017. "Modeling Dependence in High Dimensions With Factor Copulas," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 139-154, January.
  10. Nneka Umeorah & Phillip Mashele & Matthias Ehrhardt, 2021. "Pricing basket default swaps using quasi-analytic techniques," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 241-267, June.
  11. Hsiang Hui Chu & Yi Fang Chung, 2016. "Analysis of the Contagion Effect to the Credit Derivative Valuation," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 6(10), pages 571-582, October.
  12. Broer, Tobias & Kero, Afroditi, 2021. "Collateralization and asset price bubbles when investors disagree about risk," Journal of Banking & Finance, Elsevier, vol. 128(C).
  13. Daniel Tillich, 2011. "Risikomaßzahlen für Kreditportfoliotranchen," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 5(1), pages 59-76, March.
  14. Ascheberg, Marius & Bick, Björn & Kraft, Holger, 2013. "Hedging structured credit products during the credit crisis: A horse race of 10 models," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1687-1705.
  15. Wenqiong, Liu & Li, Shenghong, 2016. "Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models," Applied Mathematics and Computation, Elsevier, vol. 291(C), pages 279-291.
  16. Xiao, Tim, 2013. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," MPRA Paper 47136, University Library of Munich, Germany.
  17. Hayette Gatfaoui, 2010. "Investigating the dependence structure between credit default swap spreads and the U.S. financial market," Annals of Finance, Springer, vol. 6(4), pages 511-535, October.
  18. Kenichiro Shiraya & Tomohisa Yamakami, 2023. "Constructing Copulas Using Corrected Hermite Polynomial Expansion for Estimating Cross Foreign Exchange Volatility," Papers 2301.10044, arXiv.org.
  19. Michael Stanley Smith, 2021. "Implicit Copulas: An Overview," Papers 2109.04718, arXiv.org.
  20. Zhiyong Chen & Paul Glasserman, 2008. "Sensitivity estimates for portfolio credit derivatives using Monte Carlo," Finance and Stochastics, Springer, vol. 12(4), pages 507-540, October.
  21. Alan White, 2018. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," Papers 1803.07843, arXiv.org.
  22. Shiraya, Kenichiro & Yamakami, Tomohisa, 2024. "Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility," European Journal of Operational Research, Elsevier, vol. 314(3), pages 1195-1214.
  23. Wu, Po-Cheng, 2010. "Applying a factor copula to value basket credit linked notes with issuer default risk," Finance Research Letters, Elsevier, vol. 7(3), pages 178-183, September.
  24. Hull, John & White, Alan, 2013. "Credit Derivatives," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1363-1396, Elsevier.
  25. Puneet Pasricha & Dharmaraja Selvamuthu & Selvaraju Natarajan, 2022. "A contagion process with self-exciting jumps in credit risk applications," Papers 2202.12946, arXiv.org.
  26. Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009. "CDO and HAC," SFB 649 Discussion Papers 2009-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  27. Fermanian, Jean-David, 2014. "The limits of granularity adjustments," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 9-25.
  28. Jean-David Fermanian, 2013. "The Limits of Granularity Adjustments," Working Papers 2013-27, Center for Research in Economics and Statistics.
  29. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
  30. Broer, Tobias, 2016. "Securitisation Bubbles: Structured finance with disagreement about default correlations," CEPR Discussion Papers 11145, C.E.P.R. Discussion Papers.
  31. Smith, Michael Stanley, 2023. "Implicit Copulas: An Overview," Econometrics and Statistics, Elsevier, vol. 28(C), pages 81-104.
  32. Chen, Jianli & Liu, Zhen & Li, Shenghong, 2014. "Mixed copula model with stochastic correlation for CDO pricing," Economic Modelling, Elsevier, vol. 40(C), pages 167-174.
  33. Lin, Feng & Peng, Liang & Xie, Jiehua & Yang, Jingping, 2018. "Stochastic distortion and its transformed copula," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 148-166.
  34. Cyril Bénézet & Emmanuel Gobet & Rodrigo Targino, 2023. "Transform MCMC Schemes for Sampling Intractable Factor Copula Models," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-41, March.
  35. Frahm, Gabriel & Junker, Markus & Schmidt, Rafael, 2005. "Estimating the tail-dependence coefficient: Properties and pitfalls," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 80-100, August.
  36. Jean-David Fermanian & Olivier Vigneron, 2012. "On break-even correlation: the way to price structured credit derivatives by replication," Papers 1204.2251, arXiv.org.
  37. Tim, Xiao, 2019. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper 94701, University Library of Munich, Germany.
  38. Boudreault, Mathieu & Gauthier, Geneviève & Thomassin, Tommy, 2014. "Contagion effect on bond portfolio risk measures in a hybrid credit risk model," Finance Research Letters, Elsevier, vol. 11(2), pages 131-139.
  39. Alan White, 2018. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," Working Papers hal-01739310, HAL.
  40. Damien Ackerer & Damir Filipović, 2020. "Linear credit risk models," Finance and Stochastics, Springer, vol. 24(1), pages 169-214, January.
  41. Boudreault, Mathieu & Gauthier, Geneviève & Thomassin, Tommy, 2015. "Estimation of correlations in portfolio credit risk models based on noisy security prices," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 334-349.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.