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Dependence of defaults and recoveries in structural credit risk models
Credit risk Loss distribution Value at Risk Expected Tail Loss Stochastic
2011/3/23
The current research on credit risk is primarily focused on modeling default probabilities. Recovery rates are often treated as an afterthought; they are modeled independently, in many cases they are ...
Portfolio optimization in a defaults model under full/partial information
Optimal investment default time default intensity,filtering dynamic program-ming principle
2010/4/27
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeli...
Portfolio optimization in a defaults model under full/partial information
Optimal investment default time default intensity filtering
2010/10/19
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity model...
The impact of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate ...
We study multiple defaults where the global market information is modelled as progressive enlargement of filtrations. We shall provide a general pricing formula by establishing a relationship between ...
Estimating discriminatory power and PD curves when the number of defaults is small
Estimating discriminatory power PD curves defaults
2010/11/1
The intention with this paper is to provide all the estimation concepts and techniques that
are needed to implement a two-phases approach to the parametric estimation of probability
of default (PD) ...