Quotation Frey, Rüdiger, Backhaus, Jochen. 2008. Pricing and Hedging of Portfolio Credit Derivatives with Interacting Default Intensities. International Journal of Theoretical and Applied Finance 11 (6): 611-634.


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Abstract

We consider reduced-form models for portfolio credit risk with interacting default intensities. In this class of models default intensities are modelled as functions of time and of the default state of the entire portfolio, so that phenomena such as default contagion or counterparty risk can be modelled explicitly. In the present paper this class of models is analyzed by Markov process techniques. We study in detail the pricing and the hedging of portfolio-related credit derivatives such as basket default swaps and collaterized debt obligations (CDOs) and discuss the calibration to market data.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal International Journal of Theoretical and Applied Finance
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, STRAT-B, VW-D, WH-B
Language English
Title Pricing and Hedging of Portfolio Credit Derivatives with Interacting Default Intensities
Volume 11
Number 6
Year 2008
Page from 611
Page to 634
URL http://www.math.uni-leipzig.de/~frey/frey-backhaus-credit-derivatives.pdf

Associations

People
Frey, Rüdiger (Details)
External
Backhaus, Jochen
Organization
Institute for Statistics and Mathematics IN (Details)
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