this research analyze the resource and structure of cross-autocorrelation in returns and volatility of stocks that listed in the tehran stock exchange during the period farvardin 1382–eisfand 1386, with employing the garch model. at the first, the results show that, in down(bear) market, return on high trading volume portfolio lead return on low trading volume portfolio, when controlled for fir...

This paper studies survival measures in credit risk models. Survival measure, which was first introduced by Schönbucher [12] in the framework of defaultable LMM, has the advantage of eliminating default indicator variable directly from the expectation by absorbing it into Randon-Nikodym density process. Survival measure approach was further extended by Collin-Duresne [4] to avoid calculating a ...

We introduce an infectious default and recovery model for N obligors. The obligors are assumed to be exchangeable and their states are described by N Bernoulli-type random variables Si(i = 1, · · · , N). They are expressed by multiplying independent Bernoulli variables Xi, Yij and Y ′ ij , and the default and recovery infections are described by Yij and Y ′ ij . We obtain the default probabilit...

Abstract. The recent financial crisis, responsible for massive accumulations of credit events, emphasizes the urgent need for adequate portfolio default models. Due to the high dimensionality of real credit portfolios, balancing flexibility and numerical tractability is of uttermost importance. To acknowledge this, a multivariate default model with interesting stylized properties is introduced ...

Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures (standard deviation, VaR and Expected Shortfall) as well as allocation of risk down to individual transactions. The underlying model is the industry standard multi...

Within the Internal Ratings-Based (IRB) approach of Basel II it is assumed that idiosyncratic risk has been fully diversified away. The impact of undiversified idiosyncratic risk on portfolio Value-at-Risk can be quantified via a granularity adjustment (GA). We provide an analytic formula for the GA in an extended singlefactor CreditRisk setting incorporating double default effects. It accounts...

The main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. We examine the dependence between PD and RR by theoretical approach. For the empirically methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression. These methods allow to determinate...

We analyze pricing and portfolio optimization problems in defaultable regime switching markets driven by a underlying continuous-time Markov process. We contribute to both of these problems by obtaining new representations of option prices and optimal portfolio strategies under regime-switching. Using our option price representation, we develop a novel efficient method to price claims which may...

The correct modeling of default dependence is essential for the valuation of multiname credit derivatives. However for the pricing of synthetic CDOs a one-factor Gaussian copula model with constant and equal pairwise correlations, default intensities and recovery rates for all assets in the reference portfolio has become the standard market model. If this model were a reflection of market opini...