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Document type:
Zeitschriftenaufsatz 
Author(s):
Mai, J.-F.; Olivares, P.; Schenk, S.; Scherer, M. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
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 
Journal title:
Applied Mathematical Finance 
Year:
2014 
Journal volume:
21 
Journal issue:
Pages contribution:
51-83 
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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