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

Keyphrases

• Credit Derivatives 100%
• Intensity Model 100%
• Collateralized Debt Obligations 66%
• Firm Default 66%
• Default Time 66%
• Stochastic Volatility 33%
• Computational Methods 33%
• Mean-reverting 33%
• Relative Performance 33%
• Large Dimension 33%
• Realistic Model 33%
• Intensity Process 33%
• Factor Model 33%
• Time Distribution 33%
• Pricing Model 33%
• Pricing Problem 33%
• Homogeneous Groups 33%
• Financial Credit 33%
• Default Intensity 33%
• Portfolio Loss Distribution 33%
• Credit Crisis 33%
• Intensity-based 33%

Economics, Econometrics and Finance

• Credit Derivative 100%
• Pricing 60%
• Volatility 20%
• Factor Model 20%