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Title:

A multivariate default model with spread and event risk

Document type:
Zeitschriftenaufsatz
Author(s):
Mai, J.-F.; Olivares, P.; Schenk, S.; Scherer, M.
Non-TUM Co-author(s):
ja
Cooperation:
international
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:
1
Pages contribution:
51-83
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1080/1350486X.2013.803705
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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