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Modelling default contagion using multivariate phase-type distributions

Herbertsson, Alexander - In: Review of derivatives research 14 (2011) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10009272496

Default contagion in large homogeneous portfolios

Herbertsson, Alexander - In: The credit derivatives handbook : global perspectives, …, (pp. 303-334). 2008

Persistent link: https://www.econbiz.de/10003748427

CDS index options in Markov chain models

Herbertsson, Alexander - 2019

Persistent link: https://www.econbiz.de/10011965838

A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries

Bielecki, Tomasz R. - 2013

In "Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model", the authors introduced a Markov copula model of portfolio credit risk where pricing and hedging can be done in a sound theoretical and practical way. Further theoretical backgrounds and practical details are developed in "A...

Persistent link: https://www.econbiz.de/10013089953