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The Impact of Credit Risk and Implied Volatility on Stock Returns
Credit Risk Implied Volatility Stock Returns
2010/10/20
This paper examines the possibility of using derivative-implied risk premia to explain stock returns. The rapid development of derivative markets has led to the possibility of trading various kinds of...
We propose a hybrid model of portfolio credit risk where the dynamics of the underlying latent variables is governed by a one factor GARCH process. The distinctive feature of such processes is that th...
Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
Credit Default Swaps StructuralModels Black Cox Model, Calibration
2010/11/3
In this paper we develop structural first passage models (AT1P and SBTV)with time-varying volatility and characterized by high tractability, moving from the original work of Brigo and Tarenghi (2004, ...
We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term struc-ture is summarized and shown to be equivalent to a particular ty...
A Coupled Markov Chain approach to risk analysis of credit default swap index products
Coupled Markov Chain risk analysis credit default swap index products
2010/11/3
We apply a Coupled Markov Chain approach to model rating transitions and thereby default probabilities of companies. We estimate parameters by applying a maximum likeli-hood estimation using a large s...
A Dynamic Model for Credit Index Derivatives
Credit Risk CDO Option Dynamic Model Ane Model
2010/11/2
We present a new model for credit index derivatives, in the top-down approach. This model
has a dynamic loss intensity process with volatility and jumps and can include counterparty risk.It handles C...
Analytical Framework for Credit Portfolios. Part I: Systematic Risk
Analytical Framework Credit Portfolios Systematic Risk
2010/11/2
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfol...
Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
Implied Multi-Factor Model Bespoke CDO Tranches Portfolio Credit Derivatives
2010/11/2
This paper introduces a new semi-parametric approach to the pricing and risk management of
bespoke CDO tranches, with a particular attention to bespokes that need to be mapped onto
more than one ref...
Dual Quantization for random walks with application to credit derivatives
Quantization Backward Dynamic programming Random Walks
2010/11/2
We propose a new Quantization algorithm for the approximation of inhomogeneous random walks, which are the key terms for the valuation of CDO-tranches in latent factor models. This approach is based o...
An application to credit risk of a hybrid Monte Carlo-Optimal quantization method
credit risk structural approach survival probability partial informainformation filtering optimal quantization Monte Carlo method
2010/11/1
In this paper we use a hybrid Monte Carlo-Optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit default, under partial in...
Credit Default Swap Valuation with Counterparty Risk
Counterparty risk contagious defaults intensity model credit default swap
2009/5/7
Using the reduced form framework with inter-dependent default correlation, we perform valuation of credit default swap with counterparty risk. The inter-dependent default risk structure between the p...
Haar Wavelets-Based Approach for Quantifying Credit Portfolio Losses
Haar Wavelets-Based Quantifying Credit Portfolio Losses
2010/11/1
This paper proposes a new methodology to compute Value at Risk (VaR) for quan-tifying losses in credit portfolios. We approximate the cumulative distribution of the loss function by a nite combinatio...
Credit risk modeling using time-changed Brownian motion
Credit risk structural credit model time change L´ evy process first passage time default probability credit derivative
2010/11/1
Motivated by the interplay between structural and reduced form credit models, we propose
to model the firm value process as a time-changed Brownian motion that may include
jumps and stochastic volat...
The credit crisis of 2007 and 2008 has thrown much focus on the models used to price
mortgage backed securities. Many institutions have relied heavily on the credit ratings
provided by credit agency...
Credit models and the crisis, or: how I learned to stop worrying and love the CDOs
Credit Crisis Credit Derivatives Gaussian Copula Model Implied Correla-tion Base Correlation Compound Correlation Implied Copula
2010/11/3
We follow a long path for Credit Derivatives and Collateralized Debt Obliga-tions (CDOs) in particular, from the introduction of the Gaussian copula model and the related implied correlations to the i...