標(biāo)題: Titlebook: Credit Correlation; Theory and Practice Youssef Elouerkhaoui Book 2017 The Editor(s) (if applicable) and The Author(s), under exclusive lic [打印本頁(yè)] 作者: Kennedy 時(shí)間: 2025-3-21 18:19
書(shū)目名稱(chēng)Credit Correlation影響因子(影響力)
作者: 獸群 時(shí)間: 2025-3-21 20:42
Correlation Skew: A Black-Scholes Approachlack volatility surface, we parameterize the loss distribution with a Stochastic CEV model. We show that this parametric form gives a very good fit to the market tranche quotes. In addition, we give an application of the correlation skew Black approach to risk management and hedging.作者: Ascendancy 時(shí)間: 2025-3-22 03:01
Static Replicationidea. In this chapter, we describe how this static FTD replication is done: first, we show the relationship between .th-to-default and .th-to-default swaps; then, we apply this recursion step-by-step until we arrive at the complete FTD expansion.作者: Armory 時(shí)間: 2025-3-22 05:42
Pricing Path-Dependent Credit Products which matches the correlation skew at each tenor, by construction, and follows an exogenously specified choice of dynamics. Finally, we discuss the details of the numerical implementation and we give some pricing examples in this framework.作者: Congregate 時(shí)間: 2025-3-22 12:42
José Miguel Laínez-Aguirre,Luis Puigjanerlack volatility surface, we parameterize the loss distribution with a Stochastic CEV model. We show that this parametric form gives a very good fit to the market tranche quotes. In addition, we give an application of the correlation skew Black approach to risk management and hedging.作者: 打擊 時(shí)間: 2025-3-22 15:34 作者: 打擊 時(shí)間: 2025-3-22 21:01 作者: 死貓他燒焦 時(shí)間: 2025-3-23 01:02 作者: Simulate 時(shí)間: 2025-3-23 02:42 作者: 有角 時(shí)間: 2025-3-23 08:23 作者: 虛弱 時(shí)間: 2025-3-23 11:57 作者: 詞匯記憶方法 時(shí)間: 2025-3-23 17:27 作者: 輕浮思想 時(shí)間: 2025-3-23 18:51
Self-supervised Siamese Autoencodersoducts such as “CDOs of CDOs” (also known as “CDO-Squared”) is mainly driven by correlation of correlation effects. First, We extend the first-to-default replication method to baskets of basket products.作者: Guileless 時(shí)間: 2025-3-24 00:14
Youssef ElouerkhaouiAuthored by noted expert on credit portfolios and correlation trading and frequent speaker on these topics at all the big quant conferences..Tackles up-to-date credit and default correlation on the ma作者: 整體 時(shí)間: 2025-3-24 06:01 作者: Generalize 時(shí)間: 2025-3-24 10:08
https://doi.org/10.1007/978-3-031-23615-0In 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.作者: intangibility 時(shí)間: 2025-3-24 13:46 作者: FECT 時(shí)間: 2025-3-24 16:33
José Miguel Laínez-Aguirre,Luis PuigjanerEnlarging the economic state-variables’ filtration by observing the default process of all available credits has some profound implications on the dynamics of intensities.作者: anatomical 時(shí)間: 2025-3-24 22:29
José Miguel Laínez-Aguirre,Luis PuigjanerThis 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.作者: Gyrate 時(shí)間: 2025-3-25 02:22 作者: 戰(zhàn)役 時(shí)間: 2025-3-25 05:48 作者: 撫育 時(shí)間: 2025-3-25 08:05 作者: agglomerate 時(shí)間: 2025-3-25 14:49
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.作者: 保存 時(shí)間: 2025-3-25 19:51
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.作者: FAZE 時(shí)間: 2025-3-25 20:03 作者: 強(qiáng)制性 時(shí)間: 2025-3-26 02:29 作者: GROWL 時(shí)間: 2025-3-26 07:43
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.作者: 我說(shuō)不重要 時(shí)間: 2025-3-26 11:17
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.作者: 壯觀的游行 時(shí)間: 2025-3-26 16:26 作者: heterodox 時(shí)間: 2025-3-26 18:17 作者: Monocle 時(shí)間: 2025-3-26 21:13
Third Generation Models: From Static to Dynamic ModelsIn 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.作者: ALE 時(shí)間: 2025-3-27 04:01
Shubham Chaudhry,Azzeddine Soulaimani we talk about portfolio credit derivative valuations, the first thing that we need to do is to generate a set of loss (or default) distributions, at different time horizons, from the single-name curves and some “correlation” assumptions.作者: TAG 時(shí)間: 2025-3-27 06:41
José Miguel Laínez-Aguirre,Luis Puigjaner. By specifying the distribution of the loss variable at each time horizon, one would be able to value tranches. The standard way of defining this distribution is the base correlation approach. Here, we use a Black-Scholes analogy and we define an implied volatility for each tranche. Then, given a B作者: Complement 時(shí)間: 2025-3-27 09:33 作者: blithe 時(shí)間: 2025-3-27 16:50 作者: propose 時(shí)間: 2025-3-27 20:52
https://doi.org/10.1007/978-3-030-01768-2 The most time-consuming step in the evaluation is the generation of the sub-FTDs, for all possible combinations. If we had a homogeneous basket, then, for a given subset size ., all the FTD instruments would have exactly the same value; and the pricing equation would simplify substantially. In part作者: Free-Radical 時(shí)間: 2025-3-28 00:30
Fabian Hinder,Valerie Vaquet,Barbara Hammerution, and can be used pari-pasu for the purposes of basket default swap valuation. By using this homogeneous portfolio, the numerical burden that comes with the pricing of large baskets is eased, and the valuation algorithm is significantly speeded up.作者: Longitude 時(shí)間: 2025-3-28 04:32
Self-supervised Siamese Autoencodersoducts such as “CDOs of CDOs” (also known as “CDO-Squared”) is mainly driven by correlation of correlation effects. First, We extend the first-to-default replication method to baskets of basket products.作者: Coterminous 時(shí)間: 2025-3-28 09:51 作者: PRE 時(shí)間: 2025-3-28 11:53
https://doi.org/10.1007/978-3-319-60973-7Quantitative Finance; Credit; Theory; Practice; Financial Services作者: synovial-joint 時(shí)間: 2025-3-28 18:30
978-3-319-86973-5The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerl作者: BLAZE 時(shí)間: 2025-3-28 19:33 作者: Blazon 時(shí)間: 2025-3-29 00:32
Numerical Tools: Basket Expansionssented in the Marshall-Olkin copula model, most of the numerical techniques are generic and could be used with other copulas as well. The methods presented span a large spectrum of applied mathematics: Fourier transforms, changes of probability measure, numerical stable schemes, high-dimensional Sobol integration, recursive convolution algorithms.作者: 連鎖 時(shí)間: 2025-3-29 06:44 作者: 男生如果明白 時(shí)間: 2025-3-29 08:19
CDO-Squared: Correlation of Correlationoducts such as “CDOs of CDOs” (also known as “CDO-Squared”) is mainly driven by correlation of correlation effects. First, We extend the first-to-default replication method to baskets of basket products.作者: absorbed 時(shí)間: 2025-3-29 13:06 作者: HAIRY 時(shí)間: 2025-3-29 15:50 作者: 調(diào)情 時(shí)間: 2025-3-29 20:45
Numerical Tools: Basket Expansionssented in the Marshall-Olkin copula model, most of the numerical techniques are generic and could be used with other copulas as well. The methods presented span a large spectrum of applied mathematics: Fourier transforms, changes of probability measure, numerical stable schemes, high-dimensional Sob作者: AWL 時(shí)間: 2025-3-30 03:06 作者: 憤慨一下 時(shí)間: 2025-3-30 04:54 作者: Wernickes-area 時(shí)間: 2025-3-30 11:18
The Asymptotic Homogeneous Expansionution, and can be used pari-pasu for the purposes of basket default swap valuation. By using this homogeneous portfolio, the numerical burden that comes with the pricing of large baskets is eased, and the valuation algorithm is significantly speeded up.作者: ELATE 時(shí)間: 2025-3-30 15:17
CDO-Squared: Correlation of Correlationoducts such as “CDOs of CDOs” (also known as “CDO-Squared”) is mainly driven by correlation of correlation effects. First, We extend the first-to-default replication method to baskets of basket products.作者: Intact 時(shí)間: 2025-3-30 16:42 作者: 博識(shí) 時(shí)間: 2025-3-30 21:43 作者: 自制 時(shí)間: 2025-3-31 04:00
The Homogeneous Transformation aggregate default distribution, and we require that this quantity remains invariant with respect to the homogeneous approximation. We shall see that this transformation is exact for an FTD swap, and that, for higher-order defaults, the approximation gives very good results.作者: 嬉耍 時(shí)間: 2025-3-31 08:46 作者: SOB 時(shí)間: 2025-3-31 10:39 作者: forager 時(shí)間: 2025-3-31 14:17
Martina Padmanabhan,Volker Beckmannm wir lernten, den Aether auszupumpen, zu verdünnen und wieder einstr?men zu lassen, an dem Tage würde er für uns greifbar werden wie die übrige Materie, und jeder Gegensatz zwischen ihr und ihm würde verschwinden. Aber es scheint, als ob die Natur uns die Mittel zur Ausführung auf immer versagte, u
