2 papers
q-fin.PR2011★ 1 cited
Stochastic evolution equations in portfolio credit modelling with applications to exotic credit products
Nick Bush, Ben M. Hambly, Helen Haworth +2
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this…
q-fin.PR2007
Modelling Bonds & Credit Default Swaps using a Structural Model with Contagion
Helen Haworth, Christoph Reisinger, William Shaw
This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of relate…