PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES

By Rüdiger Frey, J. Backhaus. 2008

103 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/4a91c847950dda3631fc0de7405765e13bec5498

How researchers see this paper

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In Finance

1. St'ephane Cr'epey
2. Tomasz R. Bielecki
3. Monique Jeanblanc
4. Rüdiger Frey
5. J. Backhaus
6. Damiano Brigo
7. James W. Taylor
8. Paul Embrechts

Citations in the corpus

• Up and down credit risk (2010, methodology): “We consider a Markov chain model of credit risk (Frey and Backhaus 2008) (see also Bielecki et al. 2007).”
• About the Pricing Equations in Finance (2011, methodology): “Let us thus quote: ∙ The so called local intensity model , or pure birth process, which is used for modeling a credit portfolio cumulative loss process in Laurent, Cousin and Fermanian [74], Cont and Minca [34] or Herbertsson [59], ∙ A more general homogeneous groups model considered for different p”
• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion (2010, methodology): “It is well known that the introduction of an increasing LGD-function improves the fit of CDO-pricing models to observed CDO spreads, see for instance Frey & Backhaus (2008) or Andersen & Sidenius (2004).”