59 citations · 98 across the 5 of their papers we have counts for
Showing 2016Show all
3 papers · 1 filter
q-fin.MF2016★ 3 cited
Dependent Defaults and Losses with Factor Copula Models
Damien Ackerer, Thibault Vatter
We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models rem…
q-fin.MF2016
Linear Credit Risk Models
Damien Ackerer, Damir Filipović
We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credi…
q-fin.MF2016★ 5 cited
The Jacobi Stochastic Volatility Model
Damien Ackerer, Damir Filipović, Sergio Pulido
We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show th…