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Pricing And Hedging Of Portfolio Credit Derivatives With Interacting Default Intensities

Citations

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Cited by:

  1. Pagès, Henri, 2013. "Bank monitoring incentives and optimal ABS," Journal of Financial Intermediation, Elsevier, vol. 22(1), pages 30-54.
  2. Agostino Capponi & Lijun Bo, 2016. "Robust Optimization of Credit Portfolios," Papers 1603.08169, arXiv.org.
  3. Lijun Bo & Huafu Liao & Yongjin Wang, 2018. "Optimal Credit Investment and Risk Control for an Insurer with Regime-Switching," Papers 1807.05513, arXiv.org.
  4. 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.
  5. Wen-Qiong Liu & Wen-Li Huang, 2019. "Hedging Of Synthetic Cdo Tranches With Spread And Default Risk Based On A Combined Forecasting Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-17, March.
  6. S. Heise & R. Kühn, 2012. "Derivatives and credit contagion in interconnected networks," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 85(4), pages 1-19, April.
  7. Frey, Rüdiger & Backhaus, Jochen, 2010. "Dynamic hedging of synthetic CDO tranches with spread risk and default contagion," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 710-724, April.
  8. Areski Cousin & Diana Dorobantu & Didier Rullière, 2013. "An extension of Davis and Lo's contagion model," Quantitative Finance, Taylor & Francis Journals, vol. 13(3), pages 407-420, February.
  9. Henri Pages & Dylan Possamaï, 2014. "A mathematical treatment of bank monitoring incentives," Finance and Stochastics, Springer, vol. 18(1), pages 39-73, January.
  10. Dai Pra, Paolo & Tolotti, Marco, 2009. "Heterogeneous credit portfolios and the dynamics of the aggregate losses," Stochastic Processes and their Applications, Elsevier, vol. 119(9), pages 2913-2944, September.
  11. Tao Peng, 2010. "Portfolio Credit Risk Modelling and CDO Pricing - Analytics and Implied Trees from CDO Tranches," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2010, January-A.
  12. Pagès, H., 2009. "Bank incentives and optimal CDOs," Working papers 253, Banque de France.
  13. Jean-David Fermanian & Olivier Vigneron, 2012. "On break-even correlation: the way to price structured credit derivatives by replication," Papers 1204.2251, arXiv.org.
  14. Rainer Jobst & Daniel Rösch & Harald Scheule & Martin Schmelzle, 2015. "A Simple Econometric Approach for Modeling Stress Event Intensities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(4), pages 300-320, April.
  15. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2018. "Robust XVA," Papers 1808.04908, arXiv.org, revised Feb 2020.
  16. Maxim Bichuch & Agostino Capponi & Stephan Sturm, 2020. "Robust XVA," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 738-781, July.
  17. 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.
  18. Bäuerle Nicole & Schmock Uwe, 2012. "Dependence properties of dynamic credit risk models," Statistics & Risk Modeling, De Gruyter, vol. 29(3), pages 243-268, August.
  19. Areski Cousin & Stéphane Crépey & Yu Kan, 2012. "Delta-hedging correlation risk?," Review of Derivatives Research, Springer, vol. 15(1), pages 25-56, April.
  20. Lijun Bo & Huafu Liao & Xiang Yu, 2017. "Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching," Papers 1712.05676, arXiv.org, revised Oct 2018.
  21. Delia Coculescu & Gabriele Visentin, 2017. "A default system with overspilling contagion," Papers 1709.09255, arXiv.org, revised May 2023.
  22. Takada, Hideyuki & Sumita, Ushio, 2011. "Credit risk model with contagious default dependencies affected by macro-economic condition," European Journal of Operational Research, Elsevier, vol. 214(2), pages 365-379, October.
  23. Qiu, Ming & Jin, Zhuo & Li, Shuanming, 2023. "Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 1-23.
  24. Herbertsson, Alexander, 2023. "Risk management of stock portfolios with jumps at exogenous default events," Working Papers in Economics 836, University of Gothenburg, Department of Economics.
  25. Chen, Tingqiang & Wang, Jiepeng & Liu, Haifei & He, Yuanping, 2019. "Contagion model on counterparty credit risk in the CRT market by considering the heterogeneity of counterparties and preferential-random mixing attachment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 458-480.
  26. Emilio Barucci & Marco Tolotti, 2009. "The dynamics of social interaction with agents’ heterogeneity," Working Papers 189, Department of Applied Mathematics, Università Ca' Foscari Venezia.
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