COMPARISON OF DEPENDENCE IN FACTOR MODELS WITH APPLICATION TO CREDIT RISK PORTFOLIOS

DOI10.1017/S0269964808000090MaRDI QIDQ5450695zbMATH OpenOpenAlexFDO

Authors Michel Denuit, Esther Frostig

Publication date 13 March 2008

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0269964808000090

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Smooth generators of integral stochastic orders.
• Ultramodular Functions

Cited in

(17)

• Dependence in failure times due to environmental factors
• Stochastic comparisons of multivariate mixture models
• Risk management in credit risk portfolios with correlated assets.
• On finite exchangeable sequences and their dependence
• Stochastic comparison of multivariate conditionally dependent mixtures
• Max-factor individual risk models with application to credit portfolios
• Risk bounds for factor models
• Dependence properties of dynamic credit risk models
• First passage time for multivariate jump-diffusion processes in finance and other areas of applications
• Erratum to: Dependence properties of dynamic credit risk models
• Modeling dependencies between rating categories and their effects on prediction in a credit risk portfolio
• On general multivariate mixture models
• CreditRisk\(^+\) model with dependent risk factors
• Stochastic comparisons of multivariate mixtures
• Exchangeable FGM copulas
• Comparison results for exchangeable credit risk portfolios
• Asset proportions in optimal portfolios with dependent default risks

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