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Homogeneous groups and multiscale intensity models for multiname credit derivatives
Author(s) -
Papageorgiou Evan,
Sircar Ronnie
Publication year - 2007
Publication title -
pamm
Language(s) - English
Resource type - Journals
ISSN - 1617-7061
DOI - 10.1002/pamm.200700532
Subject(s) - valuation (finance) , homogeneous , robustness (evolution) , mathematics , credit derivative , singular perturbation , mathematical economics , computer science , econometrics , economics , actuarial science , mathematical analysis , chemistry , credit risk , finance , combinatorics , biochemistry , gene
We discuss a computationally tractable approach to the valuation of multiname credit derivatives employing name grouping for dimension reduction, and singular perturbation approximations for model robustness. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)
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