Related papers: A generalized intensity based framework for single…
This lecture notes are intended for the students taking courses in mathematical control theory. They are concerned with the attainability problem with constraints. The exposition is oriented to the linear control problems with the impulse…
We study dynamic hedging of counterparty risk for a portfolio of credit derivatives. Our empirically driven credit model consists of interacting default intensities which ramp up and then decay after the occurrence of credit events. Using…
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 portfolio-level systematic risk measures…
In this short paper, we study the simulation of a large system of stochastic processes subject to a common driving noise and fast mean-reverting stochastic volatilities. This model may be used to describe the firm values of a large pool of…
We study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random environment that makes it possible to take into account the…
We propose a general framework for the specification testing of continuous treatment effect models. We assume a general residual function, which includes the average and quantile treatment effect models as special cases. The null models are…
In this letter, I consider the issue of pricing risky debt by following Merton's approach. I generalize Merton's results to the case where the interest rate is modeled by the CIR term structure. Exact closed forms are provided for the risky…
We develop a model for the dynamic evolution of default-free and defaultable interest rates in a LIBOR framework. Utilizing the class of affine processes, this model produces positive LIBOR rates and spreads, while the dynamics are…
We propose a resilience-based framework for computing feasible assume-guarantee contracts that ensure the satisfaction of temporal specifications in interconnected discrete-time systems. Interconnection effects are modeled as structured…
The present paper introduces a structural framework to model dependent defaults, with a particular interest in their contagion.
This study considers the Merton model with temporal correlation. We show the Merton model becomes Poisson process with the log-normal distributed intensity function in the limit. We discuss the relation between this model and Hawkes…
We consider here together the inference questions and the change-point problem in Poisson autoregressions (see Tj{\o}stheim, 2012). The conditional mean (or intensity) of the process is involved as a non-linear function of it past values…
Under the International Financial Reporting Standards (IFRS) 9, credit losses ought to be recognised timeously and accurately. This requirement belies a certain degree of dynamicity when estimating the constituent parts of a credit loss…
We develop and test a fast and accurate semi-analytical formula for single-name default swaptions in the context of a shifted square root jump diffusion (SSRJD) default intensity model. The model can be calibrated to the CDS term structure…
We propose a novel continuous testing framework to test the intensities of Poisson Processes. This framework allows a rigorous definition of the complete testing procedure, from an infinite number of hypothesis to joint error rates. Our…
This paper describes a discrete-time model of regularly-issued sovereign debt dynamics under a deficit-driven nominal debt growth regime that explicitly accounts for granular maturity. New issuance follows fixed allocations across a finite…
In acoustics, higher-order-in-time equations arise when taking into account a class of thermal relaxation laws in the modeling of sound wave propagation. In this work, we analyze initial boundary value problems for a family of such…
In recent years research on credit risk modelling has mainly focused on default probabilities. Recovery rates are usually modelled independently, quite often they are even assumed constant. Then, however, the structural connection between…
Since the Great Financial Crisis (GFC), the use of stress tests as a tool for assessing the resilience of financial institutions to adverse financial and economic developments has increased significantly. One key part in such exercises is…
We seek to find normative criteria of adequacy for nonmonotonic logic similar to the criterion of validity for deductive logic. Rather than stipulating that the conclusion of an inference be true in all models in which the premises are…