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Titel:

Modeling credit portfolio derivatives, including both a default and a prepayment feature

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Hieber, P.; Scherer, M.
Nicht-TUM Koautoren:
nein
Kooperation:
-
Abstract:
Apart from heteronomy exit events like, e.g., credit default or death, several financial agreements allow policy holders to voluntarily terminate the contract. Examples include callable mortgages or life insurance contracts. For the contractual counterpart, the result is a cash-flow uncertainty called prepayment risk. Despite the high relevance of this implicit option, only few portfolio models consider both a default and a cancellability feature. On a portfolio level this is especially critical...     »
Stichworte:
portfolio default and prepayment model; prepayment risk; default risk; Archimedean copula
Intellectual Contribution:
Contribution to Practice
Zeitschriftentitel:
Applied Stochastic Models in Business and Industry
Jahr:
2013
Band / Volume:
29
Heft / Issue:
5
Seitenangaben Beitrag:
479-495
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1002/asmb.1931
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
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