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Pricing Portfolio Credit Derivatives Using a Simplified Dynamic Model

Pricing Portfolio Credit Derivatives Using a Simplified Dynamic Model. ?? : ??? ??? : ???. I . Introduction. Background and Literature Review. Copula model Dynamic model. Copula Model. Li (2000) One-factor Gaussian copula model for the case of two companies. Gregory and Lauren (2005)

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579 views • 57 slides

Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options

Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options. Peter Christoffersen, Kris Jacobs and Chayawat Ornthanalai McGill University. FDIC Risk Management Conference April 12 th 2008. 1/18. Objectives. To understand how should jump dynamics be specified.

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440 views • 37 slides

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Jump intensity - PowerPoint PPT Presentation

Pricing Portfolio Credit Derivatives Using a Simplified Dynamic Model

Exploring Time-Varying Jump Intensities: Evidence from S&amp;P500 Returns and Options

Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options