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jeanblanc--monique
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Credit Risk and Credit Derivatives :Mathematical Modeling and Numerical Simulation
, Ph.D. Dissertation Sharif University of Technology ; Zohuri Zangeneh, Bijan (Supervisor) ; Jeanblanc, Monique (Supervisor) ; Zamani, Shiva (Co-Advisor) ; Crépey, Stéphane (Co-Advisor)
Abstract
This thesis deals with credit derivatives modeling and consists of two parts:The first part concerns the density model, recently proposed by El Karoui et al. [46], where the standing assumption is that the conditional law of default time given the reference filtration is equivalent to its (non-conditional) law. Under this assumption, we provide alternative (and simpler) proofs for some existing results in the theory of initial and progressive enlargement of filtrations. Also, we present some new results such as the predictable representation theorem for progressively enlarged filtration in the multidimensional case. We then propose several methods to construct density models, in both...
Valuation and hedging of cds counterparty exposure in a markov copula model
, Article International Journal of Theoretical and Applied Finance ; Volume 15, Issue 1 , February , 2012 ; 02190249 (ISSN) ; CrÉpey, S ; Jeanblanc, M ; Zargari, B ; Sharif University of Technology
2012
Abstract
A Markov model is constructed for studying the counterparty risk in a CDS contract. The "wrong-way risk" in this model is accounted for by the possibility of the common default of the reference name and of the counterparty. A dynamic copula property as well as affine model specifications make pricing and calibration very efficient. We also consider the issue of dynamically hedging the CVA with a rolling CDS written on the counterparty. Numerical results are presented to show the adequacy of the behavior of CVA in the model with stylized features