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Applying the Markov copulae approach to modeling credit derivatives

In the latest issue of the Journal of Credit Risk, Bielecki et al. propose a dynamic bottom-up approach by using Markov copula for pricing and hedging credit index derivatives and ratings-triggered corporate step-up bonds.

The Markov copula procedure works efficiently and is a useful step towards developing a copula-like formalism for multivariate processes, which can be applied to the modeling of credit derivatives. Read the full article and receive the current edition of the Journal of Credit Risk absolutely FREE.

Papers in the current issue of the Journal of Credit Risk include:

A Markov Copulae approach to pricing and hedging of credit index derivatives and ratings triggered step-up bonds
Tomasz R. Bielecki, Andrea Vidozzi and Luca Vidozzi

Accurate allocation of risk capital in credit portfolios
Jan W. Kwiatowski and D. James Burridge

An approximation for credit portfolio losses
Rüdiger Frey, Monika Popp and Stefan Weber

Estimating exposure at default for Basel II purposes: what do we know about it?
Vytautas Valvonis

With an editorial board lead by Ashish Dev of Promontory Financial Group, the Journal of Credit Risk comprises many of the best-known researchers in this field, and they all share the view that it fulfills a valuable role at the interface of research and practice in this increasingly important sector.

Don’t forget, to receive your FREE copy of the latest issue sign up here

Or alternatively, contact [email protected] I look forward to sending you your first issue of the Journal of Credit Risk.

Kind Regards

Tom Lee
Risk Journals – Marketing Executive

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