A. I. Lopatin

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A portfolio credit derivative is a contingent claim on the aggregate loss of a portfolio of credit sensitive securities such as bonds and credit swaps. We propose an affine point process as a dynamic model of portfolio loss. The recovery at each default is random and events are governed by an intensity that is driven by affine jump diffusion risk factors.(More)
Il s'agit d'une version concise de l'article " hedging default risks of CDOs in Markovian contation models " (2008) auquel nous renvoyons pour plus de dtails. Nous mettons enévidence une stratégie de duplication de tranches de CDO faisant appel au contrat de swap de défaut sur l'indice sous-jacent. La perte agrégée suit une chaˆıne de Markov. L'intensité de(More)
In the top-down approach to multi-name credit modeling, calculation of singe name sensitivities appears possible, at least in principle, within the so-called random thinning (RT) procedure which dissects the portfolio risk into individual contributions. We make an attempt to construct a practical RT framework that enables efficient calculation of single(More)
The giant radio galaxy M 87 with its proximity (16 Mpc), famous jet, and very massive black hole ((3 − 6) × 10 9 M) provides a unique opportunity to investigate the origin of very high energy (VHE; E>100 GeV) γ-ray emission generated in relativistic outflows and the surroundings of super-massive black holes. M 87 has been established as a VHE γ-ray emitter(More)
An annihilation signal of dark matter is searched for from the central region of the Milky Way. Data acquired in dedicated on-off observations of the Galactic center region with H.E.S.S. are analyzed for this purpose. No significant signal is found in a total of ∼9  h of on-off observations. Upper limits on the velocity averaged cross section, ⟨σv⟩, for the(More)
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 self-and cross-exciting, and facilitate the description of complex event dependence structures. Ordinary differential equations characterize the transform of(More)
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