A Markov copulae approach to pricing and hedging of credit index derivatives and ratings triggered step-up bonds

By Tomasz R. Bielecki, Andrea Vidozzi, Luca Vidozzi. 2008

63 citations recorded by the source corpus.

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Up and down credit risk (2010, methodology): “Examples of this approach are Duffie and Garleanu [12], Frey and Backhaus [15, 16], Bielecki, Crépey, Jeanblanc and Rutkowski [3], or Bielecki, Vidozzi and Vidozzi [4].”
Counterparty Risk and Funding: A Tale of Two Puzzles (2014, methodology): “Henceforth we assume a nested structure of the sets Ij , first proposed in Bielecki, Vidozzi, and Vidozzi (2008b) and given by: I1 ⊂ . . . ⊂ Im.”
About the Pricing Equations in Finance (2011, methodology): “[22] with model marginals automatically calibrated to the individual CDS curves.”
Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults (2010, unknown): “[2, 3] for a general theory).”
Conditional Markov chains: Properties, construction and structured dependence (2017, methodology): “Markov copulae have been already successfully used in various applications (cf. Bielecki, Vidozzi and Vidozzi Bielecki et al. (2008c), Liang and Dong Liang and Dong (2014), Goutte and Ngoupeyou Goutte and Ngoupeyou (2013), Bielecki, Crepey, Jeanblanc and Zagrari Bielecki et al. (2012a), Bielecki, Ci”