Multiscale intensity models and name grouping for valuation of multi-name credit derivatives

Mathematics

• Grouping 87%
• Pricing 83%
• Business 82%
• Valuation 76%
• Derivative 47%
• Stochastic Volatility 34%
• Bottom-up 33%
• Homogeneous Groups 33%
• Crisis 33%
• Modeling 33%
• Factor Models 32%
• Calibration 27%
• Computational Methods 26%
• Model 25%
• Computing 15%
• Performance 15%
• Framework 14%
• Class 7%

Business & Economics

• Credit Derivatives 100%
• Grouping 74%
• Collateralized Debt Obligations 72%
• Credit Crisis 45%
• Default Intensity 36%
• Pricing 33%
• Computational Methods 33%
• Loss Distribution 32%
• Mean-reverting 29%
• Modeling 29%
• Bottom-up 28%
• Stochastic Volatility 27%
• Top-down 26%
• Relative Performance 26%
• Calibration 26%

Engineering & Materials Science

• Derivatives 62%
• Costs 29%
• Computational methods 26%
• Calibration 19%