Stochastic Evolution Equations in Portfolio Credit Modelling

被引：37

作者：

Bush, N. ^{[1
]}

Hambly, B. M. ^{[1
]}

Haworth, H. ^{[2
]}

Jin, L. ^{[1
]}

Reisinger, C. ^{[1
]}

机构：

[1] Univ Oxford, Inst Math, Oxford OX1 3LB, England

[2] Credit Suisse, London E14 4QJ, England

来源：

SIAM JOURNAL ON FINANCIAL MATHEMATICS | 2011年 / 2卷 / 01期

关键词：

stochastic partial differential equations; credit derivatives; collateralized debt obligations; TERM STRUCTURE; DERIVATIVES; VALUATION; SPREADS;

D O I：

10.1137/100796777

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the existence of a density process for the asset values. This density evolves according to a stochastic partial differential equation, and we establish existence and uniqueness for the solution taking values in a suitable function space. The loss function of the portfolio is then a function of the evolution of this density at the default boundary. We develop numerical methods for pricing and calibration of the model to credit indices and consider its performance before and after the credit crunch.

引用

页码：627 / 664

页数：38

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