Systematic risk factors redefined
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<title>Systematic risk factors redefined</title>
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<namePart>Jablecki, Juliusz</namePart>
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<abstract displayLabel="Summary">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 </abstract>
<note type="statement of responsibility">Dariusz Gatarek, Juliusz Jablecki </note>
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<topic>Modelos matemáticos</topic>
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<topic>Modelización mediante cópulas</topic>
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<topic>Matemática del seguro</topic>
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<topic>Modelo Gaussiano</topic>
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<topic>Política de precios</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080582401">
<topic>Riesgo crediticio</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080585266">
<topic>Factores de riesgo</topic>
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<title>Risk : risk management, derivatives, structured products</title>
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<publisher>Southwick, West Sussex : Incisive Financial Publishing, 2007-</publisher>
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<identifier type="issn">0952-8776</identifier>
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<part>
<text>04/11/2013 Tomo 26 Número 11 - 2013 , p. 62-64</text>
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