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Compensator-based simulation of correlated defaults

Giesecke, Kay - 2002

performance of the underlying credits. In this paper we discuss the simulation of correlated unpredictable default arrival times … can be estimated from readily available equity and single-name credit derivatives market data. -- simulation ; correlated …

Persistent link: https://www.econbiz.de/10009624843

Simulating correlated defaults

Duffie, Darrell; Singleton, Kenneth J. - 1998

Persistent link: https://www.econbiz.de/10001509438

A simulation analysis of systemic counterparty risk in over-the-counter derivatives markets

Sakurai, Yuji; Kurosaki, Tetsuo - In: Journal of economic interaction and coordination 15 (2020) 1, pp. 243-281

Persistent link: https://www.econbiz.de/10012226915

Initial margin estimations for credit default swap portfolios

Ivanov, Stanislav - In: The journal of financial market infrastructures 5 (2017) 4, pp. 22-49

Persistent link: https://www.econbiz.de/10011729219

A libor market model including credit risk under the real-world measure

Lopes, Sara Dutra; Vázquez, Carlos - In: The journal of computational finance 24 (2020) 3, pp. 111-141

Persistent link: https://www.econbiz.de/10012544160

Pricing and Risk Management of Synthetic CDOs

Schlösser, Anna - 2011

-- Simulation Framework -- Conclusion … important to have a computationally fast model that can also be used in a scenario simulation framework. The well known Gaussian …