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Saddlepoint approximations for credit portfolios with stochastic recoveries
(University of Gothenburg, 2022-08)
We study saddlepoint approximations to the tail-distribution for different credit portfolio losses in continuous time intensity based models which stochastic recoveries, under conditional independent homogeneous settings. ...
Risk management of stock portfolios with jumps at exogenous default events
(University of Gothenburg, 2023-09)
In this paper we study equity risk management of stock portfolios where the individual stock prices have downward jumps at the defaults of an exogenous group of defaultable entities. The default times can come from any ...
Saddlepoint approximations for credit portfolio distributions with applications in equity risk management
(University of Gothenburg, 2023-12)
We study saddlepoint approximations to the tail-distribution for credit portfolio losses in continuous time intensity based models under conditional independent homogeneous settings. In such models, conditional on the ...