Density Approach in Modeling Successive Defaults

DOI10.1137/130939791zbMath1350.91018OpenAlexW1986084828MaRDI QIDQ5253179

Ying Jiao, Nicole El Karoui, Monique Jeanblanc-Picqué

Publication date: 4 June 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/c3094d8018348f2d8b7a06e32264658e03d458e9

zbMATH Keywords

multiple defaultscontagion risksdefault density approach

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40)

Related Items (12)

Dynamic bivariate mortality modelling ⋮ Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case ⋮ Dynamics of multivariate default system in random environment ⋮ Reduced-form framework for multiple ordered default times under model uncertainty ⋮ A default contagion model for pricing defaultable bonds from an information based perspective ⋮ An enlargement of filtration formula with applications to multiple non-ordered default times ⋮ CREDIT DEFAULT SWAPS IN TWO-DIMENSIONAL MODELS WITH VARIOUS INFORMATIONS FLOWS ⋮ Joint densities of hitting times for finite state Markov processes ⋮ The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims ⋮ A model-point approach to indifference pricing of life insurance portfolios with dependent lives ⋮ Copula-based Markov process ⋮ FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS

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