A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE

DOI10.1142/S0219024909005208zbMath1185.91164OpenAlexW2009864312MaRDI QIDQ5324402

Matthias Scherer, Jan-Frederik Mai

Publication date: 3 August 2009

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

Full work available at URL: https://doi.org/10.1142/s0219024909005208

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

Related Items (12)

Dependence properties of dynamic credit risk models ⋮ A Multivariate Default Model with Spread and Event Risk ⋮ Shot-noise driven multivariate default models ⋮ Moment-based estimation of extendible Marshall-Olkin copulas ⋮ Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications ⋮ A Marshall-Olkin type multivariate model with underlying dependent shocks ⋮ Multivariate Archimax copulas ⋮ Unnamed Item ⋮ Sampling Exchangeable and Hierarchical Marshall-Olkin Distributions ⋮ Pricing industry loss warranties in a Lévy-Frailty framework ⋮ Reparameterizing Marshall–Olkin copulas with applications to sampling ⋮ Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk

Cites Work

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• A continuous general multivariate distribution and its properties
• Order Statistics
• Financial Modelling with Jump Processes
• Lévy Processes and Stochastic Calculus
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS

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