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Reduced-form models: curve construction and the pricing of credit swaps, options and hybrids

Andersen, Leif - In: Credit derivatives : the definitive guide, (pp. 339-369). 2004

Persistent link: https://www.econbiz.de/10002799000

CDO pricing with factor models : survey and comments

Andersen, Leif B. G.; Sidenius, Jakob - In: The journal of credit risk : published quarterly by … 1 (2005) 3, pp. [71]-88

Persistent link: https://www.econbiz.de/10003198839

A new framework for dynamic credit portfolio loss modelling

Sidenius, Jakob; Piterbarg, Vladimir; Andersen, Leif B. G. - In: International journal of theoretical and applied finance 11 (2008) 2, pp. 163-197

Persistent link: https://www.econbiz.de/10003703072

Rethinking the margin period of risk

Andersen, Leif B. G.; Pykhtin, Michael; Sokol, Alexander - In: The journal of credit risk : published quarterly by … 13 (2017) 1, pp. 1-45

Persistent link: https://www.econbiz.de/10011670745

A New Framework for Dynamic Credit Portfolio Loss Modelling

Sidenius, Jakob - 2009

We present the SPA framework, a novel approach to the modeling of the dynamics of portfolio default losses. In this framework, models are specified by a two-layer process. The first layer models the dynamics of portfolio loss distributions in the absence of information about default times. This...

Persistent link: https://www.econbiz.de/10013153467

Funding and credit risk with locally elliptical portfolio processes : an application to central counterparties

Andersen, Leif; Dickinson, Andrew - In: The journal of financial market infrastructures 7 (2019) 4, pp. 27-70

Persistent link: https://www.econbiz.de/10012104989