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A Top Down Approach to Multi-Name Credit
Year Of Publication: 2006
Month Of Publication: July
Pages: 27
Download Count: 209
View Count:
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 8-1-2007
Publisher: Administrator
Summary
Credit derivatives are path-dependent contingent claims on the aggregate loss ina portfolio of names. We develop a point process framework in which to consis-tently specify dynamic reduced form models of the aggregate loss and its singlename components. The portfolio as a whole is modeled in terms of its default orderstatistics. Natural candidates for the portfolio model include the familiar doublystochastic processes as well as self-exciting processes, whose intensities respond toevents as they occur. Here default dependence is speci¯ed dynamically in termsof information as it is revealed over time. Random thinning connects the portfoliomodel to its constituents by consistently generating models for individual ¯rms andsub-portfolios. It facilitates calibration to single name markets and estimation ofsingle name hedges for multi-name products.Key words: dependent defaults, counting proc
Author(s)
Giesecke, Kay Sign in to follow this author
Goldberg, Lisa Sign in to follow this author
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