Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.21/1405
Título: Simulation of default events in a CDX and estimation of the spread
Autor: Boreiko, D.V.
Kaniovski, Y.M.
Pflug, G.Ch.
Palavras-chave: Markov transition matrix
Credit risk
Credit events correlation
Spread
Tranche
Recovery rate
Percentile
Data: Jul-2011
Resumo: The portfolio generating the iTraxx EUR index is modeled by coupled Markov chains. Each of the industries of the portfolio evolves according to its own Markov transition matrix. Using a variant of the method of moments, the model parameters are estimated from a data set of Standard and Poor's. Swap spreads are evaluated by Monte-Carlo simulations. Along with an actuarially fair spread, at least squares spread is considered.
Peer review: yes
URI: http://hdl.handle.net/10400.21/1405
Aparece nas colecções:ISCAL - Comunicações

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