A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK

DOI10.1142/S0219024917500030zbMath1396.91788MaRDI QIDQ2970318

Hongbiao Zhao, Angelos Dassios

Publication date: 30 March 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

point processcredit riskCox processjump processCIR processHawkes processcontagion riskstochastic intensity modelself-exciting processdynamic contagion processdynamic contagion process with diffusion

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40)

Related Items (9)

Cluster point processes and Poisson thinning INARMA ⋮ An expansion formula for Hawkes processes and application to cyber-insurance derivatives ⋮ Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model ⋮ A contagion process with self-exciting jumps in credit risk applications ⋮ Clustering Effects via Hawkes Processes ⋮ INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES ⋮ A Markov modulated dynamic contagion process with application to credit risk ⋮ Efficient simulation of Lévy-driven point processes ⋮ Testing the causality of Hawkes processes with time reversal

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