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Efficient calibration of the shifted square-root diffusion model to credit default swap spreads using asymptotic approximations
Ankush Agarwal / Ying Liao
credit derivatives / credit riskResource overview

Efficient calibration of the shifted square-root diffusion model to credit default swap spreads using asymptotic approximations

Paper2024

by Ankush Agarwal, Ying Liao

Tags
credit derivativescredit riskmodel calibrationpartial differential equations

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Suggested foundations for optimisation and numerical methods and credit and counterparty risk. Specialist prerequisites vary by paper.

Before you read

  1. Vectors, Matrices and Linear Systems

    Read the linear algebra used to define a numerical problem.

  2. Constrained and Convex Optimisation

    Identify the objective, constraints and conditions for an optimum.

  3. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  4. Conditional Expectation

    Read conditional default and exposure quantities.

Go further

  1. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

  2. Numerical Conditioning and Stability

    Separate model error from unstable numerical computation.

  3. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

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Explore Linear Algebra, Optimisation and Numerical Methods Explore Counterparty Credit Risk and CVA

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