Dependence properties of dynamic credit risk models

DOI10.1524/strm.2012.1101zbMath1246.91141OpenAlexW2056237059MaRDI QIDQ2909818

Uwe Schmock, Nicole Bäuerle

Publication date: 6 September 2012

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://publikationen.bibliothek.kit.edu/1000032856

zbMATH Keywords

copulaassociationportfolio credit riskreduced-form modelhazard rate model

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Credit risk (91G40)

Cites Work

• On a probability bound of Marshall and Olkin
• Diffusion equation techniques in stochastic monotonicity and positive correlations
• A connection between supermodular ordering and positive/negative association.
• On the dependence structure of certain multi-dimensional Ito processes and corresponding hitting times
• Dependence properties and comparison results for Lévy processes
• Some notions of multivariate positive dependence
• Processes with Block-Associated Increments
• Inequalities for stochastic models via supermodular orderings
• PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
• Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk
• A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• Association of Random Variables, with Applications

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