Showing 1 - 10 of 38
This paper features an application of Regular Vine copulas which are a novel and recently developed statistical and mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a popular tool in financial applications, but is usually...
Persistent link: https://www.econbiz.de/10010907430
In [4], the authors introduced a Markov copula model of portfolio credit risk. This model solves the top-down versus bottom-up puzzle in achieving efficient joint calibration to single-name CDS and to multi-name CDO tranches data. In [4], we studied a general model, that allows for stochastic...
Persistent link: https://www.econbiz.de/10011019095
We value CDS spreads and kth-to-default swap spreads in a tractable shot noise model. The default dependence is modelled by letting the individual jumps of the default intensity be driven by a common latent factor. The arrival of the jumps is driven by a Poisson process. By using conditional...
Persistent link: https://www.econbiz.de/10004992678
We study a model for default contagion in intensity-based credit risk and its consequences for pricing portfolio credit derivatives. The model is specified through default intensities which are assumed to be constant between defaults, but which can jump at the times of defaults. The model is...
Persistent link: https://www.econbiz.de/10005190946
We study default contagion in large homogeneous credit portfolios. Using data from the iTraxx Europe series, two synthetic CDO portfolios are calibrated against their tranche spreads, index CDS spreads and average CDS spreads, all with five year maturity. After the calibrations, which render...
Persistent link: https://www.econbiz.de/10005190958
We value synthetic CDO tranche spreads, index CDS spreads, kth-to-default swap spreads and tranchelets in an intensity-based credit risk model with default contagion. The default dependence is modelled by letting individual intensities jump when other defaults occur. The model is reinterpreted...
Persistent link: https://www.econbiz.de/10005651682
This study undertakes a decomposition analysis to identify the drivers of carbon emissions change in the Swedish business and industry sectors 1993 - 2006. On aggregate, energy intensity decreased, but this does not seem to have been very important for reducing emissions. Rather, fuel...
Persistent link: https://www.econbiz.de/10005651684
We model dynamic credit portfolio dependence by using default contagion in an intensity-based framework. Two different portfolios (with 10 obligors), one in the European auto sector, the other in the European financial sector, are calibrated against their market CDS spreads and the corresponding...
Persistent link: https://www.econbiz.de/10005651787
Main objects here are normal-form games, featuring uncertainty and noncooperative players who entertain local visions, form local approximations, and hesitate in making large, swift adjustments. For the purpose of reaching Nash equilibrium, or learning such play, we advocate and illustrate an...
Persistent link: https://www.econbiz.de/10009003092
It is common to tolerate that a system's performance be unsustainable during an interim period. To live long however, its state must eventually satisfy various constraints. In this regard we design here differential inclusions that generate, in one generic format, two distinct phases of system...
Persistent link: https://www.econbiz.de/10008876363