Showing 1 - 10 of 38
This paper provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating...
Persistent link: https://www.econbiz.de/10005184380
Persistent link: https://www.econbiz.de/10012608854
Persistent link: https://www.econbiz.de/10011398073
Persistent link: https://www.econbiz.de/10012003644
Persistent link: https://www.econbiz.de/10011904621
This paper develops a method for pricing bivariate contingent claims under General Autoregressive Conditionally Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time-varying parameter offers a better alternative to any...
Persistent link: https://www.econbiz.de/10005510619
This paper develops the method for pricing bivariate contingent claims under General Autoregressive Conditionally Heteroskedastic (GARCH) process. In order to provide a general framework being able to accommodate skewness, leptokurtosis, fat tails as well as the time varying volatility that are...
Persistent link: https://www.econbiz.de/10005670883
Data in finance and insurance often cover a long time period. Therefore, the economic factors may induce some changes in the dependence structure. Recently, two methods to analyze such changes using copula have been proposed. The first approach only investigates the changes of copula parameters...
Persistent link: https://www.econbiz.de/10005696854
In this paper, we present a methodology for pricing and hedging portfolio credit derivatives in a dynamic credit model. Starting with a single-name Marshall–Olkin framework, we build a dynamic top-down version of the model, which is tractable and preserves the intuition of the original...
Persistent link: https://www.econbiz.de/10005060231
Persistent link: https://www.econbiz.de/10009306532