Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law

DOI10.1016/j.spl.2016.03.013zbMath1338.60044OpenAlexW2306359207MaRDI QIDQ277273

Matthias Scherer, Jan-Frederik Mai, Damiano Brigo

Publication date: 4 May 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.03.013

zbMATH Keywords

Marshall-Olkin distributiondefault dependencedefault-risk modelingnested margining propertyportfolio credit riskstepwise default simulation

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Multivariate analysis (62H99) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (5)

A weak version of bivariate lack of memory property ⋮ Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence ⋮ Implementing Markovian models for extendible Marshall-Olkin distributions ⋮ A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence ⋮ The infinite extendibility problem for exchangeable real-valued random vectors

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