Affine Point Processes and Portfolio Credit Risk

By Eymen Errais, Kay Giesecke, Lisa R. Goldberg. SIAM Journal on Financial Mathematics, 2010

383 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e605d29c06b3e7c84b8730c5995d29ede1997de0

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Citations in the corpus

Hawkes Processes in Finance (2015, methodology): “[29]), to be directly simulated (see App.”
Multivariate Hawkes processes: an application to financial data (2011, methodology): “For applications of Hawkes process models to finance, see, for instance, [1], [2], [5], [8], and the numerous references therein.”
Modeling financial contagion using mutually exciting jump processes (2015, positive): “Self-exciting models have recently been employed to model joint defaults in portfolios of credit derivatives (see Errais et al. (2010).)”
Ergodicity and scaling limit of a constrained multivariate Hawkes process (2013, positive): “This property directly follows from the exponential form of the fertility functions φi,j (see [30, 21, 27] in the unconstrained case).”
Hawkes and INAR($\infty$) processes (2015, background): “…which puts the subtleties of the definition and the construction on a solid and very detailed mathematical foundation— especially for the marked multivariate case, and Errais et al. (2010) which treats an important special parametrization of the model from a Markov process theory point of view.”
Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes (2015, methodology): “In the last years, the probabilistic and statistical analysis of Hawkes processes has known several interesting developments, driven by the recent use of Hawkes processes in various applied fields such as neurosciences [13, 33, 34, 36], sociology [9, 28, 41], criminology [30, 31], genome analysis [3”
Portfolio Choice in Markets with Contagion (2012, positive): “Jump processes of this type were first introduced by Hawkes (1971) with further developments due to Hawkes and Oakes (1974) and Oakes (1975).”
Exact simulation of Hawkes process with exponentially decaying intensity (2013, background): “It is also straightforward to implement, and can easily extend to multi-dimensional versions, for further applications in modelling contagion risk or clustering arrival of events in finance, insurance, economics and many other fields.”
Limit theorems for nearly unstable Hawkes processes (2013, background): “Note that besides microstruture problems, Hawkes processes have also been introduced in the study of other financial issues such as daily data analysis, see [17], financial contagion, see [2], or credit risk, see [18].”