Date:Jul. 30, 2008
Author:Takaaki Ozeki/Yuji Umezawa/Akira Yamazaki/Daisuke Yoshikawa
This paper proposes an extended CreditGrades model called the Levy CreditGrades model, which is driven by a Levy process. In this setting, quasi closed-form formulae for pricing equity options on a reference firm and for calculating its survival probabilities are derived.
Date:Apr. 24, 2008
Author:Yasushi Takano/Jiro Hashiba
This paper proposes a novel numerical methodology for quickly and accurately computing risk measures of a credit portfolio such as VaR(Value at Risk) and CVaR(Conditional Value at Risk), and risk contributions of obligors to these risk measures.
For a brief review of the paper, refer to the following document.
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