Sensitivity Analysis of a Default Time Model for Credit Risk Portfolio Management
| dc.contributor.author | Abella Muñoz, Rebeca | |
| dc.contributor.author | Armero Huertas, Ismael | |
| dc.contributor.author | Ivorra, Benjamín Pierre Paul | |
| dc.contributor.author | Ramos Del Olmo, Ángel Manuel | |
| dc.date.accessioned | 2023-06-20T03:48:54Z | |
| dc.date.available | 2023-06-20T03:48:54Z | |
| dc.date.issued | 2010-11-25 | |
| dc.description.department | Depto. de Análisis Matemático y Matemática Aplicada | |
| dc.description.faculty | Fac. de Ciencias Matemáticas | |
| dc.description.refereed | FALSE | |
| dc.description.sponsorship | Ministerio de Ciencia e Innovación (España). Plan Nacional de I+D+i 2008-2011 | |
| dc.description.sponsorship | Comunidad de Madrid | |
| dc.description.sponsorship | Banco de Santander | |
| dc.description.sponsorship | Universidad Complutense | |
| dc.description.status | submitted | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/29146 | |
| dc.identifier.officialurl | http://www.mat.ucm.es/deptos/ma/prepublicaciones/2010/2010-16p.pdf | |
| dc.identifier.relatedurl | http://www.mat.ucm.es/deptos/ma/ | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/44489 | |
| dc.issue.number | 16 | |
| dc.journal.title | Prepublicaciones del Departamento de Matemática Aplicada | |
| dc.language.iso | eng | |
| dc.page.initial | 43 | |
| dc.publisher | Universidad Complutense. Departamento de Matemática Aplicada | |
| dc.relation.projectID | MTM2008-04621/ MTM | |
| dc.relation.projectID | CONS-C6-0356 of the ”I-MATH Proyecto Ingenio Mathematica” | |
| dc.relation.projectID | QUIMAPRES project S2009/PPQ-1551 | |
| dc.relation.projectID | Consolidation Project of Research Groups (Ref. 910480). | |
| dc.rights.accessRights | open access | |
| dc.subject.cdu | 519.8:336 | |
| dc.subject.ucm | Investigación operativa (Matemáticas) | |
| dc.subject.ucm | Econometría (Economía) | |
| dc.subject.unesco | 1207 Investigación Operativa | |
| dc.subject.unesco | 5302 Econometría | |
| dc.title | Sensitivity Analysis of a Default Time Model for Credit Risk Portfolio Management | |
| dc.type | journal article | |
| dcterms.references | [1] David X. Li, On Default Correlation: A Copula Function Approach, Journal of Fixed Income, Vol. 9, No. 4, pp. 43-54, 2000. [2] Duan, J. C., Maximum Likelihood Estimation Using Price Data of the Derivative Contract, Mathematical Finance 4, pages 155-157, 1994. [3] Elizalde Abel, Credit Risk Models I: Default Correlation in Intensity Models, CEMFI and UPNA, 2005. [4] Elizalde Abel, Credit Risk Models II: Structural Models, CEMFI and UPNA, 2005. [5] Black, F., and J. C. Cox, Valuing Corporate Securities: Some Effects of Bond Identure Provisions, Journal of Finance 31, pages 351-367, 1976. [6] Black, F., and Scholes, M., The Pricing of Options and Corporate Liabilities, Journal of Political Economy 81, pages 637-654, 1973. [7] Eom, Y. H., Helwege, J., and Huang, J. Z., Structural Models of Corporate Bond Pricing: An Empirical Analysis, Review of Financial Studies 17, pages 499-544, 2003. [8] H. Fischer, The Central Limit Theorem from Laplace to Cauchy, 2000. [9] www.investopedia.com. [10] www.investorwords.com. [11] Giesecke, K., and Goldberg, L. R., Sequential defaults and incomplete information, Journal of risk 7, pages 1-26, 2004. [12] Ivorra Benjamin, Optimisation globale semi-d'eterministe et applications industrielles, Ph.D. Thesis, Universit´e de Montpellier 2, 2006. [13] Ivorra Benjamin, Bijan Mohammadi, Angel Manuel Ramos, Semideterministic Global Optimization Method: Application to a Control Problem of the Burgers Equation, Journal of Optimization, Theory and Applications (J. Optimiz. Theory App.), ISSN: 0022-3239. Vol. 135, 2007, pages 549-561, 2007. [14] Jones, P., Mason, S., and Rosenfeld, E., Contingent Claim Analysis of Corporate Capital Structures: An Empirical Investigation, Journal of Finance 39, pages 611-625, 1984. [15] Merton, R., On the Pricing of Corporate Debt: the Risk Structure of Interest Rates, Journal of Finance 29, pages 449-470, 1974. [16] M. Sellers and A. Davidson, Modelling default risk: Private firm model, KMV Corporation, 1998. [17] P.J. Schnbucher, Credit Derivatives Pricing Models, Wiley Finance, 2003. [18] Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, David Heath, Coherent Measures of Risk, Blackwell Publishers Inc, Volume 9 Issue 3, pages 203-228, 1999. [19] R. Tyrrell Rockafellar, Stanislav Uryasev, Conditional value-atrisk for general loss distributions, Journal of banking and finance, ISSN 0378-4266, Vol. 26, N. 7, pages 1443-1471, 2002. [20] R. Cavestany Sanz-Briz, Estructuras de Correlaciones de Crédito para el Cálculo de Capital Económico, PriceWaterHouse Coopers, 2002. | |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | 6d5e1204-9b8a-40f4-b149-02d32e0bbed2 | |
| relation.isAuthorOfPublication | 581c3cdf-f1ce-41e0-ac1e-c32b110407b1 | |
| relation.isAuthorOfPublication.latestForDiscovery | 6d5e1204-9b8a-40f4-b149-02d32e0bbed2 |
Download
Original bundle
1 - 1 of 1
