Search Results - subject:"Default Intensity"

Analytical Solution for Expected Loss of a Collateralized Loan: A Square-root Intensity Process Negatively Correlated with Collateral Value

Yamashita, Satoshi; Yoshiba, Toshinao - Institute for Monetary and Economic Studies, Bank of Japan - 2010

correlation between default intensity and collateral value. Three requirements for the default intensity and the collateral value … process of default intensity. Second, default intensity and collateral value are negatively correlated. Third, the default … intensity and collateral value are non-negative. To develop an explicit solution, we propose a square-root process for default …

Persistent link: https://www.econbiz.de/10008471282

Portfolio optimization in a default model under full/partial information

Lim, Thomas; Quenez, Marie-Claire - HAL - 2010

which can still be traded after default times. We use a default-intensity modeling approach, and address in this incomplete …

Persistent link: https://www.econbiz.de/10008793843

New recipes for estimating default intensities

Baranovski, Alexander; von Lieres und Wilkau, Carsten; … - 2009

default intensity can be obtained by solving an integral equation (Volterra equation of 2nd kind). This integral equation is …

Persistent link: https://www.econbiz.de/10010276969

New recipes for estimating default intensities

Baranovski, Alexander; Lieres, Carsten von; Wilch, André - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

default intensity can be obtained by solving an integral equation (Volterra equation of 2nd kind). This integral equation is … default intensity can be obtained by solving an integral equation (Volterra equation of 2nd kind). This integral equation is … term structure models like the CIR model. Keywords: CDS spreads, bond spreads, default intensity, credit derivatives …

Persistent link: https://www.econbiz.de/10005677894

The assessment of the default risk for the banks of the Romanian banking system

Vlad, Sorin Mădălin; Ruxanda, Gheorghe - In: International journal of economics, finance and … 3 (2015) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10010508533

The pricing of credit derivatives and estimation of default probability

Zhou, Hanghang; Zhao, Dianli - In: Journal of mathematical finance 5 (2015) 3, pp. 243-248

Persistent link: https://www.econbiz.de/10011438503

Levy Density Based Intensity Modeling of the Correlation Smile

Balakrishna, B S - Volkswirtschaftliche Fakultät, … - 2008

The jump distribution for the default intensities in a reduced form framework is modeled and calibrated to provide reasonable fits to CDX.NA.IG and iTraxx Europe CDOs, to 5, 7 and 10 year maturities simultaneously. Calibration is carried out using an efficient Monte Carlo simulation algorithm...

Persistent link: https://www.econbiz.de/10005000672

Pricing default events: Surprise, exogeneity and contagion

Gouriéroux, C.; Monfort, A.; Renne, J.P. - In: Journal of Econometrics 182 (2014) 2, pp. 397-411

In order to derive closed-form expressions of the prices of credit derivatives, standard credit-risk models typically price the default intensities, but not the default events themselves. The default indicator is replaced by an appropriate prediction and the prediction error, that is the...

Persistent link: https://www.econbiz.de/10010906793

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

Gündüz, Yalin; Uhrig-Homburg, Marliese - In: Review of Derivatives Research 17 (2014) 1, pp. 39-78

This study provides a rigorous empirical comparison of structural and reduced-form credit risk frameworks. The literature differentiates between structural models that are based on modeling of the evolution of the balance sheet of the issuer, and reduced-form models that specify credit risk...

Persistent link: https://www.econbiz.de/10010989558

Default barrier intensity model for credit risk evaluation

Elhiwi, Majdi - In: Statistics & Probability Letters 95 (2014) C, pp. 125-131

between the stochastic default intensity and the interest rate. This model can be useful since it can be easily generalized to …

Persistent link: https://www.econbiz.de/10010939470