Search Results - subject:"Intensity Model"

Functional disability with systematic trends and uncertainty : a comparison between China and the U.S.

Fu, Yu; Sherris, Michael; Xu, Mengyi - 2021

Persistent link: https://www.econbiz.de/10012614894

Spread Risk Premia in Corporate Credit Default Swap Markets

Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: Credit and Capital Markets – Kredit und Kapital 47 (2014) 4, pp. 571-610

The spread risk premium component of credit default swap (CDS) spreads represents a compensation demanded by protection sellers for future changes in CDS spreads caused by unpredictable fluctuations in the reference entity"s risk-neutral default intensity. This paper defines and estimates a...

Persistent link: https://www.econbiz.de/10014522247

Stochastic Local Intensity Loss Models with Interacting Particle Systems

Alfonsi, Aurélien; Labart, Céline; Lelong, Jérôme - HAL - 2014

It is well-known from the work of Sch ̈onbucher (2005) that the marginal laws of a loss process can be matched by a unit increasing time inhomogeneous Markov process, whose deterministic jump intensity is called local intensity. The Stochastic Local Intensity (SLI) models such as the one...

Persistent link: https://www.econbiz.de/10010820873

Stochastic Local Intensity Loss Models with Interacting Particle Systems

Alfonsi, Aurélien; Labart, Céline; Lelong, Jérôme - HAL - 2013

Persistent link: https://www.econbiz.de/10010607937

Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing

Bao, Qunfang; Li, Shenghong; Liu, Guimei - Volkswirtschaftliche Fakultät, … - 2010

interacting intensity model. Detailed numerical analysis is performed in this paper to study influence of stochastic pre … representations. This paper also takes advantage of survival measure to solve the looping default problem in interacting intensity … model with stochastic intensities. Guaranteed debt is priced under this model, as an application of survival measure and …

Persistent link: https://www.econbiz.de/10008777068

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

In this study, we derive an explicit solution for the expected loss of a collateralized loan, focusing on the negative correlation between default intensity and collateral value. Three requirements for the default intensity and the collateral value are imposed. First, the default event can...

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

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

A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market

Hall, Anthony D.; Hautsch, Nikolaus - Finance Discipline Group, Business School - 2004

In this paper, we investigate the buy and sell arrivl process in a limit order book market. Using an intensity framework allows to estimate the simultaneous buy and sell intensity and to derive a continuous-time measure for the buy-sell pressure in the market. Based on limit order book data from...

Persistent link: https://www.econbiz.de/10005041745

A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market

Hall, Anthony D.; Hautsch, Nikolaus - Økonomisk Institut, Københavns Universitet - 2004

In this paper, we investigate the buy and sell arrival process in a limit order book market. Using an intensity framework allows to estimate the simultaneous buy and sell intensity and to derive a continuous-time measure for the buy-sell pressure in the market. Based on limit order book data...

Persistent link: https://www.econbiz.de/10005749716

Time-scale transformations of discrete time processes

Jordà, Òscar; Marcellino, Massimiliano - 2003

This paper investigates the effects of temporal aggregation when the aggregation frequency is variable and possibly stochastic. The results that we report include, as a particular case, the well-known results on fixed-interval aggregation, such as when monthly data is aggregated into quarters. A...

Persistent link: https://www.econbiz.de/10010274321