Shot-noise driven multivariate default models

DOI10.1007/s13385-012-0059-zzbMath1256.91059OpenAlexW2049433353MaRDI QIDQ1936462

Thorsten Schmidt, Ludwig Schmid, Matthias Scherer

Publication date: 5 February 2013

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-012-0059-z

zbMATH Keywords

copulatail dependencecatastrophe derivativesdefault dependenceshot-noise processcontagion effectmultivariate default model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (6)

Generalized Pareto processes and fund liquidity risk ⋮ Shot-Noise Processes in Finance ⋮ An asymptotic characterization of hidden tail credit risk with actuarial applications ⋮ DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM ⋮ Numerical aspects of shot noise representation of infinitely divisible laws and related processes ⋮ Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk

Cites Work

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