Nonexistence of Markovian time dynamics for graphical models of correlated default

DOI10.1007/s11134-011-9261-yzbMath1239.91175arXiv1008.2226OpenAlexW2234391669MaRDI QIDQ415636

Alexandru Hening, Steven N. Evans

Publication date: 8 May 2012

Published in: Queueing Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.2226

zbMATH Keywords

Ising modelcredit riskreduced-form modelstructural modelcollateralized debt obligationcorrelated defaulttime-homogeneous Markovian chain

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Credit risk (91G40) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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