Sökning: "defaults contagion"

Hittade 2 avhandlingar innehållade orden defaults contagion.

  1. 1. Feasible computation of generalized linear mixed models with application to credit risk modelling

    Författare :Md. Moudud Alam; Göran Boström; Örebro universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Credit risk; cluster correlation; GLMM; large data; two-step pseudo likelihood estimation; defaults contagion; predictive likelihood; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; Statistics; Statistik; Statistics; Statistik; Complex Systems – Microdata Analysis;

    Sammanfattning : This thesis deals with developing and testing feasible computational procedures to facilitate the estimation of and carry out the prediction with the generalized linear mixed model (GLMM) with a scope of applying them to large data sets. The work of this thesis is motivated from an issue arising incredit risk modelling. LÄS MER

  3. 2. 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