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Title:

Credit portfolio modelling in structural models with jumps

Document type:
Zeitschriftenaufsatz
Author(s):
Kiesel, R.; Scherer, M.
Non-TUM Co-author(s):
ja
Cooperation:
national
Abstract:
A multi-firm structural default model, based on a multivariate jump-diffusion process, is presented. This framework allows to dynamically model the loss distribution and dependence structure of a credit portfolio. Univariate marginals, as well as the dependence structure, are investigated. The latter discussion includes the log-asset correlation and default correlations in the presence of jump risk. The model allows the simultaneous pricing of bonds, CDS, and portfolio derivatives across all mat...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
working paper
Year:
2011
Pages contribution:
-
Reviewed:
nein
Language:
en
Status:
Erstveröffentlichung
Semester:
SS 02
Format:
Text
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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