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Les dérivés de crédit

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Les risques des produits garantis

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An overview of the valuation of collateralized derivative contracts

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A bottom-up dynamic model of portfolio credit risk : part II ; common-shock interpretation, calibration and hedging issues

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A Bottom-Up Dynamic Model of Portfolio Credit Risk : Part II: Common-Shock Interpretation, Calibration and Hedging Issues

Bielecki, Tomasz R. - 2013

In this paper, we prove that the conditional dependence structure of default times in the Markov model of "A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective" belongs to the class of Marshall-Olkin copulas. This allows us to derive a factor representation in...

Persistent link: https://www.econbiz.de/10013083831