CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS

By Fan Yu. 2007

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PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES (2008, background): “Model (9) is the homogeneous version of the so-called looping-defaults model of Jarrow & Yu (2001). The next model generalizes the linear counterparty-risk model in two important ways: first, we introduce time-dependence and assume that a default event at time t increases the default intensity of su”
On a reduced form credit risk model with common shock and regime switching (2012, background): “The default times are defined as the first jump times of jump processes with exogenous intensities (see, e.g., Jarrow and Turnbull (1995), Lando (1998), Jarrow and Yu (2001), Duffie and Garleanu (2001), Yu (2007)).”
Counterparty Credit Risk and the Credit Default Swap Market (2012, background): “15 Examples of recent papers discussing the role of correlation in the pricing of CDS contracts include Hull and White (2001), Jarrow and Yu (2001), Longstaff, Mithal, and Neis (2005), Yu (2007), and many others.”
Good and bad credit contagion: Evidence from credit default swaps (2007, background): “3 A partial list of recent papers includes Duffie and Singleton (1999), Zhou (2001), Giesecke and Weber (2003), and Yu (2005).”