17 citations · 37 across the 22 of their papers we have counts for
5 papers · 1 filter
Machine learning for multiple yield curve markets: fast calibration in the Gaussian affine framework
Sandrine Gümbel, Thorsten Schmidt
Calibration is a highly challenging task, in particular in multiple yield curve markets. This paper is a first attempt to study the chances and challenges of the application of mac…
When roll-overs do not qualify as numéraire: bond markets beyond short rate paradigms
Irene Klein, Thorsten Schmidt, Josef Teichmann
We investigate default-free bond markets where the standard relationship between a possibly existing bank account process and the term structure of bond prices is broken, i.e. the…
Dynamic Term Structure Modelling with Default and Mortality Risk: New Results on Existence and Monotonicity
Stefan Tappe, Thorsten Schmidt
This paper considers general term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We give a general model starting from families of f…
CDO term structure modelling with Levy processes and the relation to market models
Thorsten Schmidt, Jerzy Zabczyk
This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipović, Overbeck and Schmidt (2009) to t…
Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes
Ernst Eberlein, Zorana Grbac, Thorsten Schmidt
The goal of this paper is to specify dynamic term structure models with discrete tenor structure for credit portfolios in a top-down setting driven by time-inhomogeneous Lévy proce…