Titlebook: Credit Correlation; Theory and Practice Youssef Elouerkhaoui Book 2017 The Editor(s) (if applicable) and The Author(s), under exclusive lic

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抚育

agglomerate

Advances in Intelligent Data Analysis XXIIIn this chapter, we review some of the most important dynamic credit models in the literature. We give a brief description of each model and discuss the advantages and limitations of each modelling framework. We also comment on the usefulness of each model for a given family of correlation products.

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Mathematical FundamentalsIn this chapter, we present the essential mathematical tools needed in the modelling of portfolio credit derivative products. This includes: doubly-stochastic Poisson processes, also known as Cox processes; point processes and their intensities, on some given filtration; and copula functions.

FAZE

强制性

GROWL

Correlation Demystified: A General OverviewThis chapter gives a broad overview of default correlation modelling in the context of pricing and risk managing a correlation trading book. We cover both theoretical and practical market aspects, as well as numerical performance issues.

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An Introduction to the Marshall-Olkin CopulaIn this chapter, we present the Marshall-Olkin copula model where the correlation profile is constructed via a set of common shocks, which can trigger joint defaults in the basket.

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heterodox