Asymptotic behaviour of multivariate default probabilities and default correlations under stress

DOI10.1017/JPR.2015.9zbMATH Open1345.60032OpenAlexW2300161248MaRDI QIDQ2804413FDOQ2804413

L. Overbeck, N. Packham, M. Kalkbrener

Publication date: 29 April 2016

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1457470559

Recommendations

• Default correlations in the Merton model
• LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
• A limit distribution of credit portfolio losses with low default probabilities
• Asymptotic analysis of the loss given default in the presence of multivariate regular variation
• Modelling default contagion using multivariate phase-type distributions

zbMATH Keywords

asymptoticsstress testingfinancial risk managementmax-domain of attractionelliptic distributioncredit portfolio modelingdefault correlationsmultivariate default probabilities

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Credit risk (91G40) Limit theorems in probability theory (60F99)

Cites Work

• Title not available (Why is that?)
• Extreme value theory. An introduction.
• Title not available (Why is that?)
• Tail dependence for elliptically contoured distributions
• Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
• Title not available (Why is that?)
• Title not available (Why is that?)
• Multivariate extremes, aggregation and dependence in elliptical distributions
• CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS
• Sojourns and extremes of stationary processes
• Title not available (Why is that?)
• Conditional limit results for type I polar distributions
• Extreme behaviour for bivariate elliptical distributions
• Gaussian Approximation of Conditional Elliptical Random Vectors
• Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws
• Sojourns and extremes of Fourier sums and series with random coefficients
• Limit conditional distributions for bivariate vectors with polar representation
• On Pearson-Kotz Dirichlet distributions

Cited In (8)

• Stress testing correlation matrix: a maximum empirical likelihood approach
• State dependent correlations in the Vasicek default model
• A limit distribution of credit portfolio losses with low default probabilities
• Modelling default contagion using multivariate phase-type distributions
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• Up- and down-correlations in normal variance mixture models
• Moody's correlated binomial default distributions for inhomogeneous portfolios
• Title not available (Why is that?)

This page was built for publication: Asymptotic behaviour of multivariate default probabilities and default correlations under stress

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2804413)