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A Bottom-Up Dynamic Model of Portfolio Credit Risk . Part I : Markov Copula Perspective
| Content Provider | Semantic Scholar |
|---|---|
| Author | Crépey, Stéphane Herbertsson, Alexander |
| Copyright Year | 2013 |
| Abstract | We consider a bottom-up Markovian copula model of portfolio credit risk where instantaneous contagion is possible in the form of simultaneous defaults. Due to the Markovian copula nature of the model, calibration of marginals and dependence parameters can be performed separately using a two-steps procedure, much like in a standard static copula set-up. In this sense this model solves the bottom-up top-down puzzle which the CDO industry had been trying to do for a long time. It can be applied to any dynamic credit issue like consistent valuation and hedging of CDSs, CDOs and counterparty risk on credit portfolios. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.acousin.net/Docs/Bielecki-Cousin-Crepey-Herbertsson-Part-1-2013.pdf |
| Alternate Webpage(s) | http://acousin.net/Docs/Bielecki-Cousin-Crepey-Herbertsson-Part-1-2013.pdf |
| Alternate Webpage(s) | http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/Bielecki-Cousin-Crepey-Herbertsson_Markov-Copula-Common-Shock_Part-1.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Calibration Counterparty Markov chain Surface Glycoprotein, Ig Superfamily Member Top-down and bottom-up design Value (ethics) |
| Content Type | Text |
| Resource Type | Article |
