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Portfolio Credit Risk: Top‐Down versus Bottom‐Up Approaches · Study

WorkPortfolio Credit Risk: Top‐Down versus Bottom‐Up Approaches

Kay Giesecke2008

Work2008

Portfolio Credit Risk: Top‐Down versus Bottom‐Up Approaches

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Credit Risk and Financial Regulations Financial Risk and Volatility Modeling Risk and Portfolio Optimization

Abstract

This chapter contains sections titled: Introduction Portfolio Credit Models Information and Specification Default Distribution Calibration Conclusion

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References

2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 2001Term Structures of Credit Spreads with Incomplete Accounting Information 1998On cox processes and credit risky securities 2006Multi-period corporate default prediction with stochastic covariates 2001Counterparty Risk and the Pricing of Defaultable Securities 2001Risk and Valuation of Collateralized Debt Obligations 2007Good and bad credit contagion: Evidence from credit default swaps☆

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2008On recovery and intensity's correlation: a new class of credit risk models

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2010Exact and Efficient Simulation of Correlated Defaultsarticle · 19 shared references 2011Monte Carlo Algorithms for Default Timing Problemsarticle · 14 shared references 2016Default Clustering and Valuation of Collateralized Debt Obligationsother · 14 shared references 2010Risk Analysis of Collateralized Debt Obligationsarticle · 13 shared references 2007Risk Premia in Structured Credit Derivativesarticle · 13 shared references 2005A Top-Down Approach to Multi-Name Creditpreprint · 12 shared references

Details

Year2008

Typeother

Published2008-10-27

Languageen

Citations23

Files0 public / 0

ShelfCredit Risk and Financial Regulations

Identifiers

doi10.1002/9781118266915.ch10

openalex_workW1552935910

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