21 citations · 35 across the 12 of their papers we have counts for
5 papers · 1 filter
Exact calibration of structural models via time-change
Frédéric Vrins, Damiano Brigo
In this note, we propose a general structural approach to model a default time as the first-passage time (FPT) of a (``firm-value'') process below a (``debt'') barrier …
An arbitrage-free conic martingale model with application to credit risk
Cheikh Mbaye, Frédéric Vrins
Conic martingales refer to Brownian martingales evolving between bounds. Among other potential applications, they have been suggested for the sake of modeling conditional survival…
Conditional survival probabilities under partial information: a recursive quantization approach with applications
Cheikh Mbaye, Abass Sagna, Frédéric Vrins
We consider a structural model where the survival/default state is observed together with a noisy version of the firm value process. This assumption makes the model more realistic…
A subordinated CIR intensity model with application to Wrong-Way risk CVA
Cheikh Mbaye, Frédéric Vrins
Credit Valuation Adjustment (CVA) pricing models need to be both flexible and tractable. The survival probability has to be known in closed form (for calibration purposes), the mod…
Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment
Damiano Brigo, Frédéric Vrins
A key driver of Credit Value Adjustment (CVA) is the possible dependency between exposure and counterparty credit risk, known as Wrong-Way Risk (WWR). At this time, addressing WWR…