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Pregled bibliografske jedinice broj: 642279

Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes

Eberlein, Ernst; Grbac, Zorana; Schmidt, Thorsten
Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes // SIAM Journal on Financial Mathematics, 4 (2013), 1; 616-649 doi:10.1137/110827132 (međunarodna recenzija, članak, znanstveni)

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Naslov
Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes

Autori
Eberlein, Ernst ; Grbac, Zorana ; Schmidt, Thorsten

Izvornik
SIAM Journal on Financial Mathematics (1945-497X) 4 (2013), 1; 616-649

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
collateralized debt obligations; loss process; single tranche CDO; ESB; top-down model; discrete tenor; market model; time-inhomogeneous Lévy processes; Libor rate; affine processes; extended Kalman filter; iTraxx

Sažetak
The goal of this paper is to specify dynamic term structure models with discrete tenor structure for credit portfolios in a top-down setting driven by time-inhomogeneous Lévy processes. We provide a new framework, conditions for absence of arbitrage, explicit examples, an affine setup which includes contagion and pricing formulas for STCDOs and options on STCDOs. A calibration to iTraxx data with an extended Kalman filter shows an excellent fit over the full observation period. The calibration is done on a set of CDO tranche spreads ranging across six tranches and three maturities.

Izvorni jezik
Engleski

Znanstvena područja
Matematika



POVEZANOST RADA

Projekti:
037-0372790-2799 - Analiza i vjerojatnost (Šikić, Hrvoje, MZOS ) ( CroRIS)

Ustanove:
Prirodoslovno-matematički fakultet, Matematički odjel, Zagreb

Profili:

Avatar Url Zorana Grbac (autor)

Poveznice na cjeloviti tekst rada:

doi epubs.siam.org dx.doi.org

Citiraj ovu publikaciju:

Eberlein, Ernst; Grbac, Zorana; Schmidt, Thorsten
Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes // SIAM Journal on Financial Mathematics, 4 (2013), 1; 616-649 doi:10.1137/110827132 (međunarodna recenzija, članak, znanstveni)
Eberlein, E., Grbac, Z. & Schmidt, T. (2013) Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes. SIAM Journal on Financial Mathematics, 4 (1), 616-649 doi:10.1137/110827132.
@article{article, author = {Eberlein, Ernst and Grbac, Zorana and Schmidt, Thorsten}, year = {2013}, pages = {616-649}, DOI = {10.1137/110827132}, keywords = {collateralized debt obligations, loss process, single tranche CDO, ESB, top-down model, discrete tenor, market model, time-inhomogeneous L\'{e}vy processes, Libor rate, affine processes, extended Kalman filter, iTraxx}, journal = {SIAM Journal on Financial Mathematics}, doi = {10.1137/110827132}, volume = {4}, number = {1}, issn = {1945-497X}, title = {Discrete tenor models for credit risky portfolios driven by time-inhomogeneous L\'{e}vy processes}, keyword = {collateralized debt obligations, loss process, single tranche CDO, ESB, top-down model, discrete tenor, market model, time-inhomogeneous L\'{e}vy processes, Libor rate, affine processes, extended Kalman filter, iTraxx} }
@article{article, author = {Eberlein, Ernst and Grbac, Zorana and Schmidt, Thorsten}, year = {2013}, pages = {616-649}, DOI = {10.1137/110827132}, keywords = {collateralized debt obligations, loss process, single tranche CDO, ESB, top-down model, discrete tenor, market model, time-inhomogeneous L\'{e}vy processes, Libor rate, affine processes, extended Kalman filter, iTraxx}, journal = {SIAM Journal on Financial Mathematics}, doi = {10.1137/110827132}, volume = {4}, number = {1}, issn = {1945-497X}, title = {Discrete tenor models for credit risky portfolios driven by time-inhomogeneous L\'{e}vy processes}, keyword = {collateralized debt obligations, loss process, single tranche CDO, ESB, top-down model, discrete tenor, market model, time-inhomogeneous L\'{e}vy processes, Libor rate, affine processes, extended Kalman filter, iTraxx} }

Časopis indeksira:


  • Current Contents Connect (CCC)
  • Web of Science Core Collection (WoSCC)
    • Science Citation Index Expanded (SCI-EXP)
    • Social Science Citation Index (SSCI)
    • SCI-EXP, SSCI i/ili A&HCI
  • Scopus

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