Kyriakos Chourdakis

University of Essex - Centre for Computational Finance and Economic Agents

Wivenhoe Park

Colchester, Essex CO4 3SQ

United Kingdom

http://www.theponytail.net

SCHOLARLY PAPERS

2

DOWNLOADS

52

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (2)

Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation

International Journal of Theoretical and Applied Finance, Vol. 12, No. 7, pp. 1007-1026, 2009
Posted: 01 Dec 2009
Damiano Brigo and Kyriakos Chourdakis
Imperial College London - Department of Mathematics and University of Essex - Centre for Computational Finance and Economic Agents

Abstract:

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Counterparty risk, credit valuation adjustment, Credit Default Swaps, contingent credit default swaps, credit spread volatility, default correlation, stochastic intensity, copula functions, wrong way risk

2.

Consistent Single- and Multi-Step Sampling of Multivariate Arrival Times: A Characterization of Self-Chaining Copulas

Number of pages: 23 Posted: 29 Apr 2012
Damiano Brigo and Kyriakos Chourdakis
Imperial College London - Department of Mathematics and University of Essex - Centre for Computational Finance and Economic Agents
Downloads 52 (385,019)
Citation 5

Abstract:

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Dependence Modeling, Arrival Times, Sampling, Archimedean Copula, Gumbel-Hougaard Copula, Marshall-Olkin Copula, Self-Chaining Copula, Multi-Step Simulation, Extreme Value Copulas, Copula Iteration, Copula Chaining