A Markov modulated dynamic contagion process with application to credit risk

DOI10.1007/S10955-019-02264-WMaRDI QIDQ2000733zbMATH OpenOpenAlexWikidataFDO

Authors Puneet Pasricha, Dharmaraja Selvamuthu

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

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

(11)

• Financial contagion through space-time point processes
• Modelling default contagion using multivariate phase-type distributions
• A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling
• Contagion modeling between the financial and insurance markets with time changed processes
• Limit theorems for non-Markovian marked dynamic contagion processes
• A contagion process with self-exciting jumps in credit risk applications
• Correlated risks vs contagion in stochastic transition models
• A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
• A Dynamic Contagion Risk Model with Recovery Features
• A dynamic contagion process
• Sensitivity analysis for marked Hawkes processes: application to CLO pricing

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