Search Results - subject:"Default Intensity"

A subordinated CIR intensity model with application to wrong-way risk CVA

Mbaye, Cheikh; Vrins, Frédéric - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-22

Persistent link: https://www.econbiz.de/10011956998

Credit Risk Modelling Under the Reduced Form Approach

Cantemir, Cãlin Adrian; Cristina, Popovici Oana - In: Ovidius University Annals, Economic Sciences Series XII (2012) 1, pp. 1294-1299

Credit risk is one of the most important aspects that need to be considered by financial institutions involved in credit-granting. It is defined as the risk of loss that arises from a borrower who does not make payments as promised. For modelling credit risk there are two main approaches: the...

Persistent link: https://www.econbiz.de/10010632327

CVA under Bates model with stochastic default intensity

Feng, Yaqin - In: Journal of mathematical finance 7 (2017) 3, pp. 682-698

Persistent link: https://www.econbiz.de/10011752457

Does modeling framework matter? A comparative study of structural and reduced-form models

Gündüz, Yalin; Uhrig-Homburg, Marliese - 2011

This study provides a rigorous empirical comparison of structural and reduced-form credit risk frameworks. As major difference we focus on the discriminative modeling of default time. In contrast to previous literature, we calibrate both approaches to bond and equity prices. By using same input...

Persistent link: https://www.econbiz.de/10010304725

Exposure at Default Modeling with Default Intensities

Witzany, Jiří - In: European Financial and Accounting Journal 6 (2011) 4, pp. 20-48

The paper provides an overview of the Exposure at Default (EAD) definition, requirements, and estimation methods as set by the Basel II regulation. A new methodology connected to the intensity of default modeling is proposed. The numerical examples show that various estimation techniques may...

Persistent link: https://www.econbiz.de/10010512893

Exposure at Default Modeling with Default Intensities

Witzany, Jiří - In: European Financial and Accounting Journal 2011 (2011) 4, pp. 20-48

Persistent link: https://www.econbiz.de/10011195398

Analytical Solution for the Loss Distribution of a Collateralized Loan under a Quadratic Gaussian Default Intensity Process

Yamashita, Satoshi; Yoshiba, Toshinao - Institute for Monetary and Economic Studies, Bank of Japan - 2011

Gaussian process for default intensity and discount interest rate. Correlations among default intensity, discount interest rate … differential equations. In particular, with no correlation between default intensity and discount interest rate, the coefficients … have explicit closed form solutions. We show numerical examples to analyze the effects of the correlation between default …

Persistent link: https://www.econbiz.de/10009318525

Does modeling framework matter? A comparative study of structural and reduced-form models

Gündüz, Yalin; Uhrig-Homburg, Marliese - Deutsche Bundesbank - 2011

Persistent link: https://www.econbiz.de/10009024637

Exposure at default modeling with default intensities

Witzany, Jiří - In: European financial and accounting journal : EFAJ 6 (2011) 4, pp. 20-48

Persistent link: https://www.econbiz.de/10011460072

Expectations of functions of stochastic time with application to credit risk modeling

Costin, Ovidiu; Gordy, Michael B.; Huang, Min; … - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 748-784

Persistent link: https://www.econbiz.de/10011583796