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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Mai, J.-F.; Olivares, P.; Schenk, S.; Scherer, M. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
A multivariate default model with spread and event risk 
Abstract:
Market quotes of credit derivatives feature two fundamental properties. On the one hand, daily movements of observable credit spreads contain information about time- varying default probabilities. The standard approach to reproduce these movements is the intensity based ansatz. On the other hand, intensity models, producing only limited dependence, typically fail to adequately capture default clusters, see e.g. Das et al. (2007). Default clusters are better described by models supporting catacly...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Applied Mathematical Finance 
Jahr:
2014 
Band / Volume:
21 
Heft / Issue:
Seitenangaben Beitrag:
51-83 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Ja