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Eymen Errais

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Articles by Eymen Errais

    Pricing Credit From the Top Down with Affine Point Processes

    Research Report | Sep 1, 2009 | Eymen Errais, Kay Giesecke, Lisa Goldberg

    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. The portfolio loss itself is a risk factor so past defaults and their recoveries influence future loss dynamics. This specification...