3. An Introduction to Multiname Modeling in Credit Risk

  1. Tomasz R. Bielecki,
  2. Damiano Brigo and
  3. Fédéric Patras
  1. Aurélien Alfonsi

Published Online: 7 SEP 2012

DOI: 10.1002/9781118531839.ch3

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

How to Cite

Bielecki, T. R., Brigo, D. and Patras, F. (2011) An Introduction to Multiname Modeling in Credit Risk, in Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118531839.ch3

Publication History

  1. Published Online: 7 SEP 2012
  2. Published Print: 24 JAN 2011

ISBN Information

Print ISBN: 9781576603581

Online ISBN: 9781118531839

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Keywords:

  • multiname modeling;
  • credit risk;
  • credit default swap;
  • credit derivatives;
  • collateralized debt obligations

Summary

This chapter contains sections titled:

  • Introduction

  • The Copula Model

  • Reduced Form Loss Models

  • Markovian Projection, Local Intensity, and Stochastic Local Intensity Models

  • Forward Loss Models

  • Further Issues in Credit Modeling

  • Acknowledgments

  • Note