Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models

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Subfields: Finance

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Pricing Credit from the Top Down with Affine Point Processes (2008, background): “An example is a doubly stochastic setting in which firm intensities are driven by common factors, as in Duffie and Garleanu (2001), Mortensen (2005), di Graziano and Rogers (2006) and Hurd and Kuznetsov (2006).”
Density Approximations for Multivariate Affine Jump-Diffusion Processes (2011, methodology): “ are with respect to the risk-neutral pricing measure Q. For the pricing of portfolio credit derivatives, to introduce dependence between diﬀerent obligors, Duﬃe and Garleanu (2001) (and subsequently Mortensen (2006), Eckner (2009), and Feldhu¨tter (2008)) introduce a factor intensity model (7.7) λi”
A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework (2009, methodology): “As for the notion of weak association, we refer for example to Burton, Dabrowski, and Dehling [1986], Christofides and Vaggelatou [2004], and Müller and Stoyan [2002]. The notion of weak association in sequence is used by Rüschendorf [2004]. Corollary 2.3 of Rüschendorf [2004] states that if (τ1, .”
Exploring the sources of default clustering (2018, unknown): “2See, for example, Chava and Jarrow (2004), Duffie and Garleanu (2001), Duffie, Saita, and Wang (2007), Jarrow, Lando, and Yu (2005), and Mortensen (2006).”