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Document type:
Zeitschriftenaufsatz 
Author(s):
Hieber, P.; Scherer, M. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
Modeling credit portfolio derivatives, including both a default and a prepayment feature 
Abstract:
Apart from heteronomy exit events like, e.g., credit default or death, several financial agreements allow policy holders to voluntarily terminate the contract. Examples include callable mortgages or life insurance contracts. For the contractual counterpart, the result is a cash-flow uncertainty called prepayment risk. Despite the high relevance of this implicit option, only few portfolio models consider both a default and a cancellability feature. On a portfolio level this is especially critical...    »
 
Keywords:
portfolio default and prepayment model; prepayment risk; default risk; Archimedean copula 
Intellectual Contribution:
Contribution to Practice 
Journal title:
Applied Stochastic Models in Business and Industry 
Year:
2013 
Journal volume:
29 
Journal issue:
Pages contribution:
479-495 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Ja 
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