Percorrer por autor "Kaniovski, Y.M."
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- Simulation of default events in a CDX and estimation of the spreadPublication . Boreiko, D.V.; Kaniovski, Y.M.; Pflug, G.Ch.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.