Correlated risks vs contagion in stochastic transition models

DOI10.1016/j.jedc.2013.05.016zbMath1402.91843OpenAlexW2078461679MaRDI QIDQ1994154

Christian Gouriéroux, Patrick Gagliardini

Publication date: 1 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://crest.science/RePEc/wpstorage/2012-07.pdf

zbMATH Keywords

frailtycontagionsystematic riskgranularity adjustmentINAR model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Credit risk (91G40)

Related Items

Risk contagion under regular variation and asymptotic tail independence, Pricing default events: surprise, exogeneity and contagion

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