Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives

2020 ◽  
Author(s):  
Nneka Umeorah ◽  
Phillip Mashele ◽  
Matthias Ehrhardt
Keyword(s):  
Credit Derivatives ◽  
Archimedean Copula ◽  
Copula Models ◽  
Price Estimation ◽  
Portfolio Credit Derivatives

SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL

2009 ◽  
Vol 12 (05) ◽  
pp. 633-662 ◽  
Author(s):  
MICHAEL B. WALKER
Keyword(s):  
Linear Programming ◽  
Markov Model ◽  
Discrete Time ◽  
Credit Derivatives ◽  
Surface Model ◽  
Relevant Market ◽  
Market Prices ◽  
Credit Portfolio ◽  
Portfolio Credit Derivatives ◽  
Static Loss

This article describes a dynamic discrete-time multi-step Markov model for the losses experienced by a given credit portfolio, and develops a method for the simultaneous calibration of the model to all available relevant market prices (for CDO's, forward-start CDO's, options on CDO's, leveraged super-senior tranches with loss triggers, etc.) established on a given day. The implementation is via an efficient linear programming procedure, and examples are given. The approach represents an extension of previous work (Walker, 2005, 2006; Torresetti et al., 2006) on the static loss-surface model to a model containing the necessary underlying dynamics.

scholarly journals Tail Approximations for Sums of Dependent Regularly Varying Random Variables Under Archimedean Copula Models

2018 ◽  
Vol 21 (2) ◽  
pp. 461-490 ◽  
Author(s):  
Hélène Cossette ◽  
Etienne Marceau ◽  
Quang Huy Nguyen ◽  
Christian Y. Robert
Keyword(s):  
Random Variables ◽  
Archimedean Copula ◽  
Copula Models ◽  
Regularly Varying
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