A multivariate default model with spread and event risk
DOI10.1080/1350486X.2013.803705zbMATH Open1396.91792OpenAlexW2073234475MaRDI QIDQ4585901FDOQ4585901
Authors: Jan-Frederik Mai, Pablo Olivares, Steffen Schenk, Matthias Scherer 
Publication date: 11 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2013.803705
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)
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Cited In (9)
- Modelling default contagion using multivariate phase-type distributions
- Pricing default events: surprise, exogeneity and contagion
- A survey of dynamic representations and generalizations of the Marshall-Olkin distribution
- Dependent defaults and losses with factor copula models
- Multiname and multiscale default modeling
- Cluster-based extension of the generalized Poisson loss dynamics and consistency with single names
- A top-down approach to multiname credit
- CIID frailty models and implied copulas
- Shot-noise driven multivariate default models
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