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Dual Quantization for random walks with application to credit derivatives
Quantization Backward Dynamic programming Random Walks
2010/11/2
We propose a new Quantization algorithm for the approximation of inhomogeneous random walks, which are the key terms for the valuation of CDO-tranches in latent factor models. This approach is based o...
Book Review: Money, Bank Credit, and Economic Cycles by Jesús Huerta de Soto
Money Bank Credit Economic Cycles
2009/7/23
The book under review is the first English edition of Prof. Jesús Huerta de Soto’s
book Dinero, Crédito Bancario y Ciclos Económicos which first appeared in Spain in 1998.
A second edition of the bo...
The significance of credit risk models has increased with the introduction of the New Basel Accord, known as Basel II. The aim of this study is to examine default rate modeling. This paper follows tw...
An application to credit risk of a hybrid Monte Carlo-Optimal quantization method
credit risk structural approach survival probability partial informainformation filtering optimal quantization Monte Carlo method
2010/11/1
In this paper we use a hybrid Monte Carlo-Optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit default, under partial in...
Credit Default Swap Valuation with Counterparty Risk
Counterparty risk contagious defaults intensity model credit default swap
2009/5/7
Using the reduced form framework with inter-dependent default correlation, we perform valuation of credit default swap with counterparty risk. The inter-dependent default risk structure between the p...
Variance-covariance based risk allocation in credit portfolios: analytical approximation
Variance-covariance risk allocation nalytical approximation
2010/11/1
High precision analytical approximation is proposed for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with ...
Haar Wavelets-Based Approach for Quantifying Credit Portfolio Losses
Haar Wavelets-Based Quantifying Credit Portfolio Losses
2010/11/1
This paper proposes a new methodology to compute Value at Risk (VaR) for quan-tifying losses in credit portfolios. We approximate the cumulative distribution of the loss function by a nite combinatio...
Credit risk modeling using time-changed Brownian motion
Credit risk structural credit model time change L´ evy process first passage time default probability credit derivative
2010/11/1
Motivated by the interplay between structural and reduced form credit models, we propose
to model the firm value process as a time-changed Brownian motion that may include
jumps and stochastic volat...
The credit crisis of 2007 and 2008 has thrown much focus on the models used to price
mortgage backed securities. Many institutions have relied heavily on the credit ratings
provided by credit agency...
Credit models and the crisis, or: how I learned to stop worrying and love the CDOs
Credit Crisis Credit Derivatives Gaussian Copula Model Implied Correla-tion Base Correlation Compound Correlation Implied Copula
2010/11/3
We follow a long path for Credit Derivatives and Collateralized Debt Obliga-tions (CDOs) in particular, from the introduction of the Gaussian copula model and the related implied correlations to the i...
Dynamic Estimation of Credit Rating Transition Probabilities
Credit Rating Transition Probabilities
2010/11/3
We present a continuous-time maximum likelihood estimation methodology for credit rating
transition probabilities, taking into account the presence of censored data. We perform
rolling estimates of ...
Defining, Estimating and Using Credit Term Structures. Part 3: Consistent CDS-Bond Basis
Estimating Credit Term Structures Consistent CDS-Bond Basis
2010/11/3
In the third part of this series we introduce consistent relative value measures for CDS-Bond
basis trades using the bond-implied CDS term structure derived from fitted survival rate
curves. We expl...
Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures
Estimating Term Structures Consistent Risk Measures
2010/11/3
In the second part of our series we suggest new definitions of credit bond duration and
convexity that remain consistent across all levels of credit quality including deeply distressed bonds and intr...
Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures
Defining, Estimating Consistent Valuation Measures
2010/11/3
In this three-part series of papers, we argue that the conventional spread measures are not
well defined for credit-risky bonds and introduce a set of credit term structures which correct
for the bi...
Correlation breakdown, copula credit default models and arbitrage
Correlation breakdown copula credit default models arbitrage
2010/11/2
The recent ‘correlation breakdown’ in the modeling of credit default swaps,in which model correlations had to exceed 100% in order to reproduce market prices of supersenior tranches, is analyzed and a...