Default Risk under Different Colours of Noise

Pricing Credit Default Swaps Under Default Correlations and Counterparty Risk ∗

In this paper, we develop a generalized affine model to characterize correlated credit risk of multi-firms. When valuing credit derivatives, this new approach allows to incorporate correlative market and credit risk, interdependent default risk structure and counterparty risk into consideration. We have demonstrated our affine model not only combines the existing structural models and intensity...

General Dynamic Term Structures under Default Risk

We consider the problem of modelling the term structure of bonds subject to default risk, under minimal assumptions on the default time. In particular, we do not assume the existence of a default intensity and we therefore allow for the possibility of default at predictable times. It turns out that this requires the introduction of an additional term to the forward-rate approach by Heath, Jarro...

Default probabilities and default correlations under stress

We investigate default probabilities and default correlations of Merton-type credit portfolio models in stress scenarios where a common risk factor is truncated. The analysis is performed in the class of elliptical distributions, a family of light-tailed to heavy-tailed distributions encompassing many distributions commonly found in financial modelling. It turns out that the asymptotic limit of...

Extinction risk under coloured environmental noise

Variability of lombard effects under different noise conditions

In this paper, variability of Lombard speech under different noise conditions and an adaptation method to the different Lombard speech are discussed. For this purpose, various kinds of Lombard speech are recorded under different conditions of noise injected into a earphone with controlled feedback of voice. First, DTW word recognition experiments using clean speech as a reference are performed ...