Portfolio Credit Risk Models with Interacting Default Intensities: a Markovian Approach

49 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

A Markov copulae approach to pricing and hedging of credit index derivatives and ratings triggered step-up bonds (2008, background): “Bottom-up models ([1],[3], [4], [6], [11], [12], [15], [17]) describe the evolution of each individual default process, and are therefore driven by the information generated by the underlying pool of obligations (full information).”
Up and down credit risk (2010, background): “It is also possible to extend this setup to more general credit migrations models, or to generic bottom-up models of credit migrations influenced by macro-economic factors (see Frey and Backhaus 2004 and Bielecki et al. 2007, 2008).”
Pricing Credit from the Top Down with Affine Point Processes (2008, background): “In Jarrow and Yu (2001), Frey and Backhaus (2004) and Giesecke and Weber (2004), this response is exogenous.”