Extending the intensity model with joint defaults to incorporate the lasting effects from common credit events

DOI10.1002/asmb.2371MaRDI QIDQ6574588

Yung-Hsin Lee, Xenos Chang-Shuo Lin, Steve Hsin-Ting Yu, Daniel Wei-Chung Miao

Publication date: 18 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

common credit eventsjoint defaults modelslasting effectsmultiname credit derivatives

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• On Cox processes and credit risky securities
• Pricing the risks of default
• Basket CDS pricing with interacting intensities
• Correlation structure of the Marshall-Olkin bivariate exponential distribution
• A family of bivariate exponential distributions and their copulas
• CDO pricing with nested Archimedean copulas
• PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
• Efficient hybrid methods for portfolio credit derivatives
• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• A Multivariate Exponential Distribution

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