Areski Cousin

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Areski COUSIN and Jean-Paul LAURENT Comparison results for exchangeable credit risk portfolios Comparison results Application to several popular CDO pricing models Conclusion De Finetti theorem and factor representation Stochastic orders Main results Contents 1 Comparison results De Finetti theorem and factor representation Stochastic orders Main results 2(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)
We consider a bottom-up Markovian copula model of portfolio credit risk where dependence among credit names mainly stems from the possibility of simultaneous defaults. Due to the Markovian copula nature of the model, calibration of marginals and dependence parameters can be performed separately using a two-steps procedure, much like in a standard static(More)
In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (VaR) in a multivariate setting. The two proposed multivariate VaR are vector-valued measures with the same dimension as the underlying risk portfolio. The lower-orthant VaR is constructed from level sets of multivariate distribution functions whereas the(More)
In this paper, we prove that the conditional dependence structure of default times in the Markov model of [4] belongs to the class of Marshall-Olkin copulas. This allows us to derive a factor representation in terms of " common-shocks " , the latter beeing able to trigger simultaneous defaults in some pre-specified groups of obligors. This representation(More)
Up to the 2007 crisis, research within bottom-up CDO models mainly concentrated on the dependence between defaults. Since then, due to substantial increases in market prices of systemic credit risk protection, more attention has been paid to recovery rate assumptions. In this paper, we use stochastic orders theory to assess the impact of recovery on CDOs(More)