4 papers
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…
Affine term structure models : a time-changed approach with perfect fit to market curves
Cheikh Mbaye, Frédéric Vrins
We address the so-called calibration problem which consists of fitting in a tractable way a given model to a specified term structure like, e.g., yield or default probability curve…
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…