A reduced-form model for correlated defaults with regime-switching shot noise intensities

DOI10.1007/s11009-014-9431-6zbMath1343.60117OpenAlexW2038428139MaRDI QIDQ292361

Yinghui Dong, Chongfeng Wu, Guo-jing Wang, Kam-Chuen Yuen

Publication date: 8 June 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-014-9431-6

zbMATH Keywords

continuous-time Markov chainregime-switchingcommon shockscontagion modelcredit default swapsshot noise intensities

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Continuous-time Markov processes on discrete state spaces (60J27) Martingales and classical analysis (60G46) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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