Publication
Simulation of default events in a CDX and estimation of the spread
| dc.contributor.author | Boreiko, D.V. | |
| dc.contributor.author | Kaniovski, Y.M. | |
| dc.contributor.author | Pflug, G.Ch. | |
| dc.date.accessioned | 2012-04-19T14:01:44Z | |
| dc.date.available | 2012-04-19T14:01:44Z | |
| dc.date.issued | 2011-07 | |
| dc.description.abstract | 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. | por |
| dc.identifier.uri | http://hdl.handle.net/10400.21/1405 | |
| dc.language.iso | eng | en |
| dc.peerreviewed | yes | por |
| dc.subject | Markov transition matrix | por |
| dc.subject | Credit risk | por |
| dc.subject | Credit events correlation | por |
| dc.subject | Spread | por |
| dc.subject | Tranche | por |
| dc.subject | Recovery rate | por |
| dc.subject | Percentile | por |
| dc.title | Simulation of default events in a CDX and estimation of the spread | por |
| dc.type | conference object | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | XII Iberian-Italian Congress of Financial and Actuarial Mathematics | por |
| rcaap.rights | openAccess | por |
| rcaap.type | conferenceObject | por |