Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty
Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in financial …

This is a book on financial modeling that emphasizes computational aspects. It gives a
unified perspective on derivative pricing and hedging across asset classes and is addressed …

We devise a bottom-up dynamic model of portfolio credit risk where instantaneous contagion
is represented by the possibility of simultaneous defaults. Due to a Markovian copula nature …

We study saddlepoint approximations to the tail-distribution for different credit portfolio
losses in continuous time intensity based models which stochastic recoveries, under …

We consider a bottom-up Markovian copula model of portfolio credit risk where
instantaneous contagion is possible in the form of simultaneous defaults. Due to the …

Pricing and hedging structured credit products poses major challenges to financial
institutions. This paper puts several valuation approaches through a crucial test: How did …

We consider a bottom-up Markovian model of portfolio credit risk where dependence among
credit names stems from the possibility of simultaneous defaults. A common shocks …

We consider the pricing of European-style structured credit pay-off under the Gaussian
Copula Model (GCM). When no sudden jump-to-default events occur, the perfect replication …

In this paper we consider the problem of pricing and hedging European derivatives written
on two underlying assets, when individual marginal distributions are known. Our aim is …

Risks embedded in asset price dynamics are taken to be accumulations of surprise jumps. A
Markov pure jump model is formulated on making variance gamma parameters deterministic …