portfolio credit derivatives Recently Published Documents

Author(s):

Nneka Umeorah ◽

Phillip Mashele ◽

Matthias Ehrhardt

Keyword(s):

Credit Derivatives ◽

Archimedean Copula ◽

Copula Models ◽

Price Estimation ◽

Sensitivity Analysis of Portfolio Credit Derivatives by Conditional Monte Carlo Simulation

SSRN Electronic Journal ◽

10.2139/ssrn.3404231 ◽

2019 ◽

Author(s):

Lei Lei ◽

Yijie Peng ◽

Michael Fu ◽

Jianqiang Hu

Keyword(s):

Sensitivity Analysis ◽

Monte Carlo Simulation ◽

Monte Carlo ◽

Credit Derivatives ◽

Conditional Monte Carlo ◽

A factor contagion model for portfolio credit derivatives

Quantitative Finance ◽

10.1080/14697688.2014.976651 ◽

2014 ◽

Vol 15 (9) ◽

pp. 1571-1582 ◽

Author(s):

Geon Ho Choe ◽

Hyun Jin Jang ◽

Soon Won Kwon

Keyword(s):

Credit Derivatives ◽

Contagion Model ◽

A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives

Statistics & Probability Letters ◽

10.1016/j.spl.2012.10.003 ◽

2013 ◽

Vol 83 (1) ◽

pp. 373-381 ◽

Cited By ~ 5

Author(s):

Xue Liang ◽

Guojing Wang ◽

Yinghui Dong

Keyword(s):

Diffusion Model ◽

Regime Switching ◽

Credit Derivatives ◽

Jump Diffusion ◽

Markov Regime Switching ◽

Jump Diffusion Model ◽

Portfolio credit derivatives and introduction to structured credit trading

Credit Derivatives and Structured Credit Trading ◽

10.1002/9781118390412.ch10 ◽

2012 ◽

pp. 157-165 ◽

Keyword(s):

Credit Derivatives ◽

Structured Credit ◽

Forward Equations for Portfolio Credit Derivatives

Frontiers in Quantitative Finance ◽

10.1002/9781118266915.ch11 ◽

2012 ◽

pp. 269-293 ◽

Author(s):

Rama Cont ◽

Ioana Savescu

Keyword(s):

Credit Derivatives ◽

Forward Equations ◽

Dynamic Hedging of Portfolio Credit Derivatives

SIAM Journal on Financial Mathematics ◽

10.1137/090750937 ◽

2011 ◽

Vol 2 (1) ◽

pp. 112-140 ◽

Cited By ~ 20

Author(s):

Rama Cont ◽

Yu Hang Kan

Keyword(s):

Credit Derivatives ◽

Dynamic Hedging ◽

A Copula Contagion Mixture Model and its Pricing Impact on Portfolio Credit Derivatives

Advances in Management Science and Risk Assessment ◽

10.2316/p.2011.704-044 ◽

2011 ◽

Author(s):

H. Zheng

Keyword(s):

Mixture Model ◽

Credit Derivatives ◽

An implied multi-factor model for bespoke collateralized debt obligation tranches and other portfolio credit derivatives

The Journal of Credit Risk ◽

10.21314/jcr.2010.111 ◽

2010 ◽

Vol 6 (3) ◽

pp. 3-52 ◽

Cited By ~ 4

Author(s):

Igor Halperin

Keyword(s):

Factor Model ◽

Credit Derivatives ◽

Collateralized Debt Obligation ◽

Collateralized Debt ◽

Portfolio Credit Derivatives ◽

Debt Obligation

Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model

Asia-Pacific Financial Markets ◽

10.1007/s10690-010-9119-z ◽

2010 ◽

Vol 18 (1) ◽

pp. 33-54 ◽

Cited By ~ 7

Author(s):

Jin Liang ◽

Jun Mei Ma ◽

Tao Wang ◽

Qin Ji

Keyword(s):

Credit Derivatives ◽

Vasicek Model ◽