默认关联、集群动态和单个名称：GPCL 动态损失模型

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摘要翻译：
我们将Lindskog和McNeil(2003)中的常见Poisson shock框架扩展为一个避免重复默认的公式，从而得到一个能够一致地解释单个名称默认动态、集群默认动态和默认计数过程的模型。这种方法允许引入重要的动态，改进标准的“自下而上”方法，并实现与单个名称的真正一致性，改进大多数“自上而下”的损失模型。此外，我们指出，由此得到的GPCL模型与Brigo，Pallavicini和Torresetti(2006a，b)中的GPL动态损失模型有重要联系。模型扩展允许更清晰的扩散和恢复动态被暗示。对DJi-TRAXX和CDX索引和分段数据的校准表明，GPCL模型具有与GPL模型相同的校准能力，同时允许与单个名称的一致性
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英文标题：
《Default correlation, cluster dynamics and single names: The GPCL
  dynamical loss model》
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作者：
Damiano Brigo, Andrea Pallavicini and Roberto Torresetti
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  We extend the common Poisson shock framework reviewed for example in Lindskog and McNeil (2003) to a formulation avoiding repeated defaults, thus obtaining a model that can account consistently for single name default dynamics, cluster default dynamics and default counting process. This approach allows one to introduce significant dynamics, improving on the standard "bottom-up" approaches, and to achieve true consistency with single names, improving on most "top-down" loss models. Furthermore, the resulting GPCL model has important links with the previous GPL dynamical loss model in Brigo, Pallavicini and Torresetti (2006a,b), which we point out. Model extensions allowing for more articulated spread and recovery dynamics are hinted at. Calibration to both DJi-TRAXX and CDX index and tranche data across attachments and maturities shows that the GPCL model has the same calibration power as the GPL model while allowing for consistency with single names
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PDF链接：
https://arxiv.org/pdf/0812.4163

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关键词：PCL Quantitative Applications Consistency QUANTITATIV McNeil 方法 单个 dynamics 得到