Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications

DOI10.1007/s00184-012-0382-zzbMath1430.91121OpenAlexW2038682698MaRDI QIDQ1938497

Marcos Escobar Anel, German Bernhart, Matthias Scherer, Jan-Frederik Mai

Publication date: 21 February 2013

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-012-0382-z

zbMATH Keywords

hierarchical copulaportfolio loss distributionCDO pricingportfolio default modelscale mixture of Marshall-Olkin copulas

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characteristic functions; other transforms (60E10) Credit risk (91G40)

Related Items

Shot-noise driven multivariate default models ⋮ A Marshall-Olkin type multivariate model with underlying dependent shocks ⋮ Archimedean-based Marshall-Olkin distributions and related dependence structures ⋮ \(H\)-extendible copulas ⋮ Multivariate Archimax copulas ⋮ Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time ⋮ Hierarchical Archimedean dependence in common shock models ⋮ A Compendium of Copulas ⋮ A Survey of Dynamic Representations and Generalizations of the Marshall–Olkin Distribution ⋮ Marshall–Olkin Machinery and Power Mixing: The Mixed Generalized Marshall–Olkin Distribution

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