Conditional default probability and density

DOI10.1007/978-3-319-02069-3_9MaRDI QIDQ4561933zbMATH OpenOpenAlexFDO

Authors Nicole El Karoui, Ying Jiao, Behnaz Zargari, Monique Jeanblanc

Publication date 13 December 2018

Published in Inspired by Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-02069-3_9

zbMATH Keywords

Brownian motioncredit riskdefault modelsfilteringGaussian copulasurvival process

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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Cites work

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Cited in

(14)

• General dynamic term structures under default risk
• Dynamics of multivariate default system in random environment
• Semimartingales and shrinkage of filtration
• Calibration of the default probability model
• Dynamic one-default model
• Default Probabilities for Mortgages
• Some extensions of Norros' lemma in models with several defaults
• Default barrier intensity model for credit risk evaluation
• Portfolio optimization with insider's initial information and counterparty risk
• Density approach in modeling successive defaults
• An explicit model of default time with given survival probability
• A robust investment-consumption optimization problem in a switching regime interest rate setting
• On the construction of conditional probability densities in the Brownian and compound Poisson filtrations
• What happens after a default: the conditional density approach

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