Credit risk model with contagious default dependencies affected by macro-economic condition
DOI10.1016/J.EJOR.2011.05.001zbMATH Open1218.91162OpenAlexW2037784857MaRDI QIDQ2275829FDOQ2275829
Authors: Hideyuki Takada, Ushio Sumita 
Publication date: 10 August 2011
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://tsukuba.repo.nii.ac.jp/record/24972/files/EJOR_214-2.pdf
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Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Credit risk (91G40) Corporate finance (dividends, real options, etc.) (91G50)
Cites Work
- Markov chain models - rarity and exponentiality
- CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
- Time-changed birth processes and multiname credit derivatives
- Pricing and hedging of portfolio credit derivatives with interacting default intensities
- Common failings: how corporate defaults are correlated
- Basket CDS pricing with interacting intensities
Cited In (14)
- A set-valued Markov chain approach to credit default
- Modelling default contagion using multivariate phase-type distributions
- Macroeconomic environment, money demand and portfolio choice
- Effects of economic interactions on credit risk
- Credit Contagion in a Long Range Dependent Macroeconomic Factor Model
- On infectious model for dependent defaults
- Markov chain lumpability and applications to credit risk modelling in compliance with the International Financial Reporting Standard 9 framework
- A nonlinear dynamic model for credit risk contagion
- Credit contagion and aggregate losses
- Stability analysis and fixed-time control of credit risk contagion
- Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics
- Optimal dividend strategy for an insurance group with contagious default risk
- Aggregating sectors in the infectious defaults model
- Credit Contagion in a Structural Framework
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