Jan-Frederik Mai

Technische Universität München (TUM) - HVB Institute for Mathematical Finance

SCHOLARLY PAPERS

2

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64

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Scholarly Papers (2)

1.

Consistent Iterated Simulation of Multi-Variate Default Times: A Markovian Indicators Characterization

Number of pages: 24 Posted: 05 Jun 2013 Last Revised: 02 May 2014
Damiano Brigo, Jan-Frederik Mai and Matthias A. Scherer
Imperial College London - Department of Mathematics, Technische Universität München (TUM) - HVB Institute for Mathematical Finance and Technische Universität München (TUM)
Downloads 64 (348,083)
Citation 2

Abstract:

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Stepwise default simulation, default modeling, credit modeling, default dependence, default correlation, default simulation, arrival times, credit risk, Marshall-Olkin distribution, nested margining, Freund distribution, looping default models

2.

A Tractable Multivariate Default Model Based on a Stochastic Time-Change

International Journal of Theoretical and Applied Finance, Vol. 12, No. 2, pp. 227-249, 2009
Posted: 20 Apr 2010
Matthias A. Scherer and Jan-Frederik Mai
Technische Universität München (TUM) and Technische Universität München (TUM) - HVB Institute for Mathematical Finance

Abstract:

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Lévy subordinator, Cuadras-Augé copula, CDO pricing, portfolio-loss process, multivariate default model