Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or …. We consider individual as well as correlated credit risks. -- compensator ; intensity ; credit risk ; default risk …

functions of the risk premia. -- impulse response analysis ; Market price of risk ; Multivariate GARCH-Models ; CAPM …Time-varying risk premia traditionally have been associated with the empirical fact that conditional second moments are … time-varying. This paper additionally examines another possible source for time-varying risk premia, namely the market …

specify the overall market dynamics, where deflated asset prices appear as martingales. A specific form for the risk premia is … the case of complete and incomplete markets avoiding the use of an equivalent risk neutral measure transformation …. -- financial market modelling ; deflator ; risk premium ; contingent claim pricing ; incomplete market …

considerably over recent years. The risk analysis and valuation of such multi-name structures often relies on simulating the …

risk. After a proper re-scaling taking care of the heavy tails induced by the contagion dynamics, we provide a normal …