Author pages are created from data sourced from our academic publisher partnerships and public sources.

Publications Influence

PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL

- Youssef Elouerkhaoui
- Economics
- 1 June 2007

In this paper, we present a methodology for pricing and hedging portfolio credit derivatives in a dynamic credit model. Starting with a single-name Marshall–Olkin framework, we build a dynamic… Expand

35 5

Hedging in Incomplete Markets

- Youssef Elouerkhaoui
- Economics
- 2017

In this chapter, we present a methodology for hedging basket credit derivatives with single name instruments. Because of the market incompleteness due to the residual correlation risk, perfect… Expand

2 1

Expectations in the Enlarged Filtration

- Youssef Elouerkhaoui
- Mathematics
- 2017

In this chapter, we derive a formula of the conditional expectation with respect to the enlarged filtration. This is a generalization of the Dellacherie formula. We shall use this key result to… Expand

Correlation Skew: A Black-Scholes Approach

- Youssef Elouerkhaoui
- Mathematics
- 2017

In this chapter, we view the valuation of CDO tranches as an option pricing problem. The payoff of a CDO tranche is a call-spread on the loss variable. By specifying the distribution of the loss… Expand

Introduction and Context

- Youssef Elouerkhaoui
- Economics
- 2017

To set the context, we start this introduction with a presentation of the main (portfolio) credit derivative contracts that we are interested in. When we talk about portfolio credit derivative… Expand

Copulas and Conditional Jump Diffusions

- Youssef Elouerkhaoui
- Mathematics
- 2017

Enlarging the economic state-variables’ filtration by observing the default process of all available credits has some profound implications on the dynamics of intensities.

An Introduction to the Marshall-Olkin Copula

- Youssef Elouerkhaoui
- Mathematics
- 2017

In this chapter, we present the Marshall-Olkin copula model where the correlation profile is constructed via a set of common shocks, which can trigger joint defaults in the basket.

The Homogeneous Transformation

- Youssef Elouerkhaoui
- Mathematics
- 2017

In general, the number of sub-FTDs in the replication formula is a function of n, the size of the basket, and k, the order of the basket default swap. The most time-consuming step in the evaluation… Expand

Third Generation Models: From Static to Dynamic Models

- Youssef Elouerkhaoui
- Computer Science
- 2017

TLDR

The Asymptotic Expansion

- Youssef Elouerkhaoui
- Mathematics
- 2017

In this chapter, we relax the homogeneous portfolio assumption, and we derive an asymptotic series expansion of the \(k{\text {th}}\)-to-default Q-factor in the non-homogeneous case. We also show how… Expand

...

1

2

3

...