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Document type:
Buchbeitrag 
Author(s):
Biagini, F., Fuschini, F., Klüppelberg, C. 
Artist:
Di Nunno, G. and Oksendal, B. (Eds.) 
Title:
Credit contagion in a long range dependent macroeconomic factor model 
Pages contribution:
105-132 
Abstract:
We propose a new default contagion model, where default may originate from the performance of a specific form itself, but can also be directly in uenced by defaults of other forms. The default intensities of our model depend on smoothly varying macroeconomic variables, driven by a long range dependent process. In particular, we focus on the pricing of defaultable derivatives, whose default depends on the macroeconomic process and may be affected by the contagion effect. In our approach we are...    »
 
Keywords:
credit risk, contagion modeling, credit intensity, latent process, macroeconomic variables process, long range dependence, fractional Brownian motion, pricing defaultable derivatives. 
Book title:
Di Nunno, Julia, Øksendal, Bernt: Advanced Mathematical Methods in Finance 
Publisher:
Springer 
Publisher address:
Heidelberg 
Year:
2011 
Pages:
105-132 
Print-ISBN:
978-3-642-18411-6 
Bookseries ISSN:
978-3-642-18412-3 
Reviewed:
ja 
Language:
en 
Semester:
SS 11 
Format:
Text