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q-fin.PR2010
Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics
Nicola Moreni, Andrea Pallavicini
For a long time interest-rate models were built on a single yield curve used both for discounting and forwarding. However, the crisis that has affected financial markets in the las…
q-fin.PR2008
Default correlation, cluster dynamics and single names: The GPCL dynamical loss model
Damiano Brigo, Andrea Pallavicini, Roberto Torresetti
We extend the common Poisson shock framework reviewed for example in Lindskog and McNeil (2003) to a formulation avoiding repeated defaults, thus obtaining a model that can account…