H. Takada

Learn More
Correlated default risk plays a significant role in financial markets. Dynamic intensity-based models, in which a firm default is governed by a stochastic intensity process, are widely used to model correlated default risk. The computations in these models can be performed by Monte Carlo simulation. The standard simulation method, which requires the(More)
The equity portfolio selection problem is the subject of a substantial literature. Though equally important in practice, the optimization problem for a fixed-income portfolio, which may contain corporate and government bonds, industrial loans and credit derivatives such as credit swaps, is less well-understood. The fixed-income portfolio problem presents(More)
  • 1