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Cousin, Areski; Crépey, Stéphane; Kan, Yu - In: Review of Derivatives Research 15 (2012) 1, pp. 25-56

Persistent link: https://www.econbiz.de/10010867561

A Bottom-Up Dynamic Model of Portfolio Credit Risk : Part II: Common-Shock Interpretation, Calibration and Hedging Issues

Bielecki, Tomasz R. - 2013

In this paper, we prove that the conditional dependence structure of default times in the Markov model of "A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective" belongs to the class of Marshall-Olkin copulas. This allows us to derive a factor representation in...

Persistent link: https://www.econbiz.de/10013083831

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

Hedging CDO tranches in a Markovian environment

Cousin, Areski; Jeanblanc, Monique; Laurent, Jean-Paul - In: Paris Princeton lectures on mathematical finance 4 (2010), pp. 1-61

Persistent link: https://www.econbiz.de/10009356720

A bottom-up dynamic model of portfolio credit risk : part II ; common-shock interpretation, calibration and hedging issues

Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - In: Recent advances in financial engineering 2012 : …, (pp. 51-73). 2014

Persistent link: https://www.econbiz.de/10010359906

A bottom-up dynamic model of portfolio credit risk : part I ; Markov copula perspective

Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - In: Recent advances in financial engineering 2012 : …, (pp. 25-49). 2014

Persistent link: https://www.econbiz.de/10010359909

An overview of factor modeling for CDO pricing

Laurent, Jean-Paul; Cousin, Areski - In: Frontiers in quantitative finance : volatility and …, (pp. 185-216). 2009

Persistent link: https://www.econbiz.de/10003787603

Asset allocation strategies in the presence of liability constraints

Cousin, Areski; Jiao, Ying; Robert, Christian Yann; … - In: Insurance / Mathematics & economics 70 (2016), pp. 327-338

Persistent link: https://www.econbiz.de/10011597318

Kriging of financial term-structures

Cousin, Areski; Maatouk, Hassan; Rullière, Didier - In: European journal of operational research : EJOR 255 (2016) 2, pp. 631-648

Persistent link: https://www.econbiz.de/10011532216

Delta-hedging correlation risk?

Cousin, Areski; Crépey, Stéphane; Kan, Yu Hang - In: Review of derivatives research 15 (2012) 1, pp. 25-56

Persistent link: https://www.econbiz.de/10009627434