Credit portfolio selection with decaying contagion intensities | |
Bo, Lijun2,3; Capponi, Agostino1; Chen, Peng-Chu4 | |
刊名 | MATHEMATICAL FINANCE |
2019 | |
卷号 | 29期号:1页码:137-173 |
关键词 | decay of default intensities dynamic programming fixed-income investment parabolic PDEs |
ISSN号 | 0960-1627 |
DOI | 10.1111/mafi.12177 |
英文摘要 | We develop a fixed-income portfolio framework capturing the exponential decay of contagious intensities between successive default events. We show that the value function of the control problem is the classical solution to a recursive system of second-order uniformly parabolic Hamilton-Jacobi-Bellman partial differential equations. We analyze the interplay between risk premia, decay of default intensities, and their volatilities. Our comparative statics analysis finds that the investor chooses to go long only if he is capturing enough risk premia. If the default intensities deteriorate faster, the investor increases the size of his position if he goes short, or reduces the size of his position if he goes long. |
资助项目 | NSF of China[11471254] ; Key Research Program of Frontier Sciences, CAS[QYZDB-SSW-SYS009] ; Fundamental Research Funds for Central Universities[WK3470000008] ; National Science Foundation[DMS 1716145] ; University of Hong Kong Seed Fund for Basic Research[201705159004] |
WOS关键词 | DEFAULT |
WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
语种 | 英语 |
出版者 | WILEY |
WOS记录号 | WOS:000455268800005 |
资助机构 | NSF of China ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research |
内容类型 | 期刊论文 |
源URL | [http://ir.hfcas.ac.cn:8080/handle/334002/41488] |
专题 | 中国科学院合肥物质科学研究院 |
通讯作者 | Capponi, Agostino |
作者单位 | 1.Columbia Univ, Dept Ind Engn & Operat Res, New York, NY 10027 USA 2.Univ Sci & Technol China, Sch Math Sci, Hefei, Anhui, Peoples R China 3.Chinese Acad Sci, Wu Wen Tsun Key Lab Math, Hefei, Anhui, Peoples R China 4.Univ Hong Kong, Dept Ind & Mfg Syst Engn, Pokfulam, Hong Kong, Peoples R China |
推荐引用方式 GB/T 7714 | Bo, Lijun,Capponi, Agostino,Chen, Peng-Chu. Credit portfolio selection with decaying contagion intensities[J]. MATHEMATICAL FINANCE,2019,29(1):137-173. |
APA | Bo, Lijun,Capponi, Agostino,&Chen, Peng-Chu.(2019).Credit portfolio selection with decaying contagion intensities.MATHEMATICAL FINANCE,29(1),137-173. |
MLA | Bo, Lijun,et al."Credit portfolio selection with decaying contagion intensities".MATHEMATICAL FINANCE 29.1(2019):137-173. |
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