A Coupled Markov Chain approach to risk analysis of credit default swap index products

Economy – Quantitative Finance – Risk Management

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

Scientific paper

We apply a Coupled Markov Chain approach to model rating transitions and thereby default probabilities of companies. We estimate parameters by applying a maximum likelihood estimation using a large set of historical ratings. Given the parameters the model can be used to simulate scenarios for joint rating changes of a set of companies, enabling the use of contemporary risk management techniques. We obtain scenarios for the payment streams generated by CDX contracts and portfolios of such contracts. This allows for assessing the risk of the current position held and design portfolios which are optimal relative to the risk preferences of the investor.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

A Coupled Markov Chain approach to risk analysis of credit default swap index products does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A Coupled Markov Chain approach to risk analysis of credit default swap index products, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A Coupled Markov Chain approach to risk analysis of credit default swap index products will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-453440

All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.