A Markov modulated dynamic contagion process with application to credit risk
DOI10.1007/S10955-019-02264-WzbMATH Open1481.60172OpenAlexW2921477248WikidataQ128220171 ScholiaQ128220171MaRDI QIDQ2000733FDOQ2000733
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
Recommendations
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40) Risk models (general) (91B05) Jump processes on general state spaces (60J76)
Cites Work
- A space-time conditional intensity model for invasive meningococcal disease occurrence
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Affine point processes and portfolio credit risk
- Multivariate Hawkes processes: an application to financial data
- On Lewis' simulation method for point processes
- Affine processes and applications in finance
- On a reduced form credit risk model with common shock and regime switching
- Title not available (Why is that?)
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- On Cox processes and credit risky securities
- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
- A top-down approach to multiname credit
- Option pricing in a regime switching stochastic volatility model
- Title not available (Why is that?)
- Markov-modulated Hawkes process with stepwise decay
- A dynamic contagion process
- Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts
- On stability of the Markov-modulated skew CIR process
- Rejoinder on: ``A review of self-exciting spatio-temporal point processes and their applications
- On the default probability in a regime-switching regulated market
- A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
- Modelling of limit order books by general compound Hawkes processes with implementations
- A regime-switching model with jumps and its application to bond pricing and insurance
Cited In (11)
- Modelling default contagion using multivariate phase-type distributions
- Limit theorems for non-Markovian marked dynamic contagion processes
- 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 process
- Sensitivity analysis for marked Hawkes processes: application to CLO pricing
- A Dynamic Contagion Risk Model with Recovery Features
- Financial contagion through space-time point processes
- A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling
This page was built for publication: A Markov modulated dynamic contagion process with application to credit risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2000733)
