Centro de Documentación de Fundación MAPFRE - Systematic risk factors redefined

MAP20140003235

Systematic risk factors redefined / Dariusz Gatarek, Juliusz Jablecki

Sumario: Credit risk factor models tend to have a narrow focus on the Gaussian case, use copula functions that don't work well with the martingale methods used in pricing, and can introduce arbitrage. Dariusz Gatarek and Juliusz Jablecki show how an increasing sequence of default times can be used to create systematic factors that allow for a rich correlation structure - and keep strong links with pricing

En: Risk : risk management, derivatives, structured products. - Southwick, West Sussex : Incisive Financial Publishing, 2007- = ISSN 0952-8776. - 04/11/2013 Tomo 26 Número 11 - 2013 , p. 62-64

1. Modelos matemáticos . 2. Modelización mediante cópulas . 3. Matemática del seguro . 4. Modelo Gaussiano . 5. Política de precios . 6. Riesgo crediticio . 7. Factores de riesgo . I. Jablecki, Juliusz .