A Markov modulated dynamic contagion process with application to credit risk

DOI10.1007/S10955-019-02264-WzbMATH Open1481.60172OpenAlexW2921477248WikidataQ128220171 ScholiaQ128220171MaRDI QIDQ2000733FDOQ2000733

Dharmaraja Selvamuthu, Puneet Pasricha

Publication date: 28 June 2019

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10955-019-02264-w

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zbMATH Keywords

regime-switchingcredit riskcontagion processaffine jump diffusion process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40) Risk models (general) (91B05) Jump processes on general state spaces (60J76)

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Cited In (7)

• Modelling default contagion using multivariate phase-type distributions
• Correlated risks vs contagion in stochastic transition models
• A contagion process with self-exciting jumps in credit risk applications
• A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
• Contagion modeling between the financial and insurance markets with time changed processes
• A Dynamic Contagion Risk Model with Recovery Features
• A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling

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