Sökning: "default-correlation"

Hittade 2 avhandlingar innehållade ordet default-correlation.

1. 1. Pricing Portfolio Credit Derivatives

   Författare :Alexander Herbertsson; Göteborgs universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Portfolio credit risk; intensity-based models; dynamic dependence modelling; default contagion; CDS; synthetic CDO tranches; index CDS; k-th-to-default swaps; CDS-correlation; default-correlation; Markov jump processes; multivariate phase-type distributions; matrix-analytic methods;

   Sammanfattning : This thesis consists of four papers on dynamic dependence modelling in portfolio credit risk. The emphasis is on valuation of portfolio credit derivatives. The underlying model in all papers is the same, but is split in two different sub-models, one for inhomogeneous portfolios, and one for homogeneous ones. LÄS MER

3. 2. Credit risk and forward price models

   Författare :Raquel M Gaspar; Handelshögskolan i Stockholm; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Sammanfattning : This thesis consists of three distinct parts. Part I introduces the basic concepts and the notion of general quadratic term structures (GQTS) essential in some of the following chapters. Part II focuses on credit risk models and Part III studies forward price term structure models using both the classical and the geometrical approach. LÄS MER