Pricing Credit from the Top Down with Affine Point Processes

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Subfields: Finance

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Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model (2007, methodology): “αn λn/( ∑n k=1 λk) If, as before, we define λ as in (9), then the compound Poisson process Xt has the same characteristic function, at all times t, as our process Zt for the default counting function.”
Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss (2008, background): “In contrast to the affine set-up of Errais et al. (2006), our model has no transformbased analytical solution for the stop-loss option.”
BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives (2008, unknown): “33 98 v1 [”
Time-Changed Birth Processes and Multi-Name Credit Derivatives (2008, methodology): “Alternatively, the transform can be obtained directly from the results in Errais et al. (2006) by observing that the birth process is an affine point process. (2)Interestingly, Cox & Ross (1976) suggest a variant of the birth process as a model for stock prices. Kou & Kou (2003) consider a birth-dea”
RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES (2013, unknown): “Finally, one can argue that not only the occurrence of defaults but also their timing and magnitude can aﬀect the default intensity: this feature has been modeled using Hawkes or self-exciting processes [19, 21].”