Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on hierarchical Archimedean copulae (HAC) with up to three parameters, with default...

In this paper, we provide a new representation result for dynamic capital allocations and dynamic convex risk measures that are based on backward stochastic differential equations (BSDEs). We derive this representation from a classical differentiability result for BSDEs and the full allocation...

Collateralized debt obligations (CDOs) constitute an important class of asset-backed securities. Most major banks use CDOs as portfolio management tools for achieving regulatory capital relief, economic risk transfer and funding. On the other side, banks and other financial institutions invest...

The Cox-Ingersoll-Ross model is a diffusion process suitable for modeling the term structure of interest rates. In this paper, we consider estimation of the parameters of this process from observations at equidistant time points. We study two estimators based on conditional least squares as well...