Team Mathfi

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Section: New Results

Keywords : credit derivatives, Marshall-Olkin copula.

Default risk modeling

Participants : B. Jottreau, Y. Elouerkhaoui.

The modeling of default often leads to market incompleteness and requires specific tools such as utility maximization or martingale measures selection, in order to price and hedge defautable claims. B. Jottreau's thesis deals with default risk modeling and portfolio optimization. He has extended results of Lukas' for exponential utility to general utility functions. Future research will include transactions costs.

Y. Elouerkhaoui finishes his PhD thesis on the valuation and hedging of basket credit derivatives in the Marshall-Olkin copula framework, especially on the modeling of default correlation in the context of credit derivatives pricing and the study of correlation market incompleteness and hedging. [81] , [79] , [80]

The release Premia8 includes algorithms for pricing credit risk derivatives.


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