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Hedging CDO tranches in a Markovian environment

Cousin, Areski; Jeanblanc, Monique; Laurent, Jean-Paul - In: Paris Princeton lectures on mathematical finance 4 (2010), pp. 1-61

Persistent link: https://www.econbiz.de/10009356720

Building a consistent pricing model from observed option prices

Laurent, Jean-Paul; Leisen, Dietmar - 1998

Persistent link: https://www.econbiz.de/10001355935

Building a consistent pricing model from observed option prices

Laurent, Jean-Paul; Leisen, Dietmar - 1999

Persistent link: https://www.econbiz.de/10001380392

A Markov Copula model of portfolio credit risk with stochastic intensities and Random recoveries

Bielecki, Tomasz R.; Cousin, Areski; Crépy, Stéphane; … - 2012

Persistent link: https://www.econbiz.de/10009630172

A bottom-up dynamic model of portfolio credit risk : part I ; Markov copula perspective

Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - In: Recent advances in financial engineering 2012 : …, (pp. 25-49). 2014

Persistent link: https://www.econbiz.de/10010359909

A Bottom-Up Dynamic Model of Portfolio Credit Risk; Part I : Markov Copula Perspective

Bielecki, Tomasz R. - 2013

We consider a bottom-up Markovian copula model of {portfolio} credit risk where instantaneous contagion is possible in the form of simultaneous defaults. Due to the Markovian copula nature of the model, calibration of marginals and dependence parameters can be performed separately using a...

Persistent link: https://www.econbiz.de/10013093440

Rating transitions forecasting : a filtering approach

Cousin, Areski; Lelong, Jérǒme; Picard, Tom - In: International journal of theoretical and applied … 26 (2023) 2/3, pp. 1-53

Persistent link: https://www.econbiz.de/10014365676