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A comparative analysis of CDO pricing models
Burtschell, Xavier; Gregory, Jon; Laurent, Jean-Paul - In: The definitive guide to CDOs : market, application, …, (pp. 389-427). 2008
Persistent link: https://www.econbiz.de/10003918804
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A comparative analysis of CDO pricing models under the factor copula framework
Burtschell, Xavier; Gregory, Jon; Laurent, Jean-Paul - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 9-37
Persistent link: https://www.econbiz.de/10003862752
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Delta-hedging correlation risk?
Cousin, Areski; Crépey, Stéphane; Kan, Yu Hang - In: Review of derivatives research 15 (2012) 1, pp. 25-56
Persistent link: https://www.econbiz.de/10009627434
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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
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On multivariate extensions of Conditional-Tail-Expectation
Cousin, Areski; Di Bernardino, Elena - In: Insurance / Mathematics & economics 55 (2014), pp. 272-282
Persistent link: https://www.econbiz.de/10010366166
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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