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Saddlepoint approximations for credit portfolios with stochastic recoveries
Herbertsson, Alexander - 2022
Persistent link: https://www.econbiz.de/10013369349
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Saddlepoint approximations for credit portfolio distributions with applications in equity risk management
Herbertsson, Alexander - 2023
Persistent link: https://www.econbiz.de/10014518798
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Parameter Estimation in Credit Models Under Incomplete Information
Herbertsson, Alexander - 2014
We consider the filtering model of Frey & Schmidt (2012) stated under the real probability measure and develop a method for estimating the parameters in this framework by using time-series data of CDS index spreads and classical maximum-likelihood algorithms. The estimation-approach incorporates...
Persistent link: https://www.econbiz.de/10013060843
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Particle methods for the estimation of credit portfolio loss distributions
Carmona, René; Crépey, Stéphane - In: International journal of theoretical and applied finance 13 (2010) 4, pp. 577-602
Persistent link: https://www.econbiz.de/10008905024
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Pathwise CVA regressions with oversimulated defaults
Abbas-Turki, Lokman A.; Crépey, Stéphane; Saadeddine, … - In: Mathematical finance : an international journal of … 33 (2023) 2, pp. 274-307
Persistent link: https://www.econbiz.de/10014278670