Hazard rates
A three-factor hazard rate model for single-name credit default swap pricing
The authors propose a reduced-form model in which the evolution of the risk-neutral hazard rate is driven by three risk factors.
Closing out DVA
Closing out DVA
Dynamic frailties and credit portfolio modelling
Martin Delloye, Jean-David Fermanian and Mohammed Sbai estimate and discuss a reduced-form credit portfolio model in a proportional hazard framework. They propose an innovative method of generating flexible amounts of dependence between underlying…
Low-default portfolios without simulation
Low-default portfolios are a key Basel II implementation challenge, and various statistical techniques have been proposed for use in PD estimation for such portfolios. To produce estimates using these techniques, typically Monte Carlo simulation is…
Kamakura upgrades credit default prediction software
Hawaii-based risk technology vendor Kamakura has upgraded its default probability calculation software.
Generalising with HJM
Credit risk
Applying HJM to credit risk
Credit risk