We study the impact of risk-aversion on the valuation of credit derivatives. Using the technology of utility-indifference pricing in intensity-based models of default risk, we analyze resulting yield spreads in multiname credit derivatives, particularly CDOs. We study first the idealized problem with constant intensities where solutions are essentially explicit. We also give the large portfolio...

In this paper, we consider the problem of mean-variance hedging in an incomplete market where the underlying assets are jump diffusion processes which are driven by Brownian motion and doubly stochastic Poisson processes. This problem is formulated as a stochastic control problem and closed form expressions for the optimal hedging policy are obtained using methods from stochastic control and th...

Introduction: To explore diagnostic potential of computerize texture analysis methods in discrimination of the normal, benign and malignant ovarian lesions by CT scan imaging.   Materials and Methods: Ovarian CT image database consists of 10 normal, 10 benign and 3 malignant which were reported by radiologist and proven by clinical examinat...

This paper analyzes a family of multivariate point process models of correlated event timing whose arrival intensity is driven by an affine jump diffusion. The components of an affine point process are selfand cross-exciting, and facilitate the description of complex event dependence structures. Ordinary differential equations characterize the transform of an affine point process and the probab...

In this paper, we apply the meshfree radial basis function (RBF) interpolation to numerically approximate zero-coupon bond prices and survival probabilities in order to price credit default swap (CDS) contracts. We assume that the interest rate follows a Cox-Ingersoll-Ross process while the default intensity is described by the Exponential-Vasicek model. Several numerical experiments are conduc...

The significant amplification effect of collateral constraints in Kiyotaki and Moore (1997) for adverse shocks depends on the assumption that there is no default ex post, even when the outstanding debt is larger than the value of collateral assets. We show that allowing for explicit default eliminates the dynamic amplification effects in their setup. When there is specificity in the use of prod...

We develop two novel approaches to solving for the Laplace transform of a time-changed stochastic process. We discard the standard assumption that the background process (Xt) is Lévy. Maintaining the assumption that the business clock (Tt) and the background process are independent, we develop two different series solutions for the Laplace transform of the time-changed process X̃t = X(Tt). In fa...

We study selfand cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting with credit default intensities driven by mutually exciting jump processes, to capture the salient features observed in the data, in particular, the clustering of high default probabilities both in time (over days) and in space (across countries). The feedback between jump events an...

In this paper we propose a factor contagion model for correlated defaults. The model covers the heterogeneous conditionally independent portfolio and the factor infectious default portfolio as special cases. The model assumes that the hazard rate processes are driven by external common factors as well as defaults of other names in the portfolio. The total hazard construction method is used to d...

In this paper we investigate the behaviour of credit default in start-up companies. Using a logit regression technique on a panel data of 1430 start-ups and considering a tracking period of three years, we tested the impact on the probability of occurrence of the first credit event in financing agreements due to variables grouped into three categories: financial capital, human capital and indus...