We consider a factor approach to the pricing of basket credit derivatives and synthetic CDO
tranches. Our purpose is to deal in a convenient way with dependent defaults for a large …

Over the last decade, it has been shown that the concept of comonotonicity is a helpful tool
for solving several research and practical problems in the domain of finance and insurance …

The algorithm for optimization of a credit portfolio has not been fully demonstrated. This
paper fills the gap in the literature by presenting a general approach for optimizing a credit …

This paper presents an extension of the popular Large Homogeneous Portfolio (LHP)
approach to the pricing of CDOs. LHP (which has already become a standard model in …

Abstract In 1976 Black and Cox proposed a structural model where an obligor defaults when
the value of its assets hits a certain barrier. In 2001 Zhou showed how the model can be …

Untitled Page 1 Page 2 Michael Günther | Ansgar Jüngel Finanzderivate mit MATLAB® Page 3
Michael Günther | Ansgar Jüngel Finanzderivate mit MATLAB® Mathematische Modellierung …

This is a succinct guide to the application and modelling of dependence models or copulas
in the financial markets. First applied to credit risk modelling, copulas are now widely used …

The financial industry is swamped by credit products whose economic performance is linked
to the performance of some underlying portfolio of credit-risky instruments, like loans, bonds …

Copulas provide a powerful and flexible tool for modeling the dependence structure of
random vectors, and they have many applications in finance, insurance, engineering …

This paper presents computational techniques that make a certain class of fully dynamic
intensity-based models for portfolio credit risk, along the lines of Duffie and Gârleanu (2001) …