Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk
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Publication:5233178
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Cites work
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- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
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- Dynamic hedging of portfolio credit risk in a Markov copula model
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- Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk
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- On lifetimes influenced by a common environment
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- Pricing and hedging in a dynamic credit model
- Pricing basket default swaps in a tractable shot noise model
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- Reliability of Complex Devices in Random Environments
- Reparameterizing Marshall–Olkin copulas with applications to sampling
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- Semiparametric Marshall-Olkin Models Applied to the Occurrence of Metastases at Multiple Sites after Breast Cancer
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Cited in
(16)- Characterizations of multivariate distributions with limited memory revisited: an analytical approach
- A generalization of Archimedean and Marshall-Olkin copulas family
- A survey of dynamic representations and generalizations of the Marshall-Olkin distribution
- Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law
- Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence
- Exogenous shock models: analytical characterization and probabilistic construction
- Bilateral Credit Valuation Adjustment of CDS Under Systemic and Correlated Idiosyncratic Risks
- Multivariate tempered stable additive subordination for financial models
- Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes
- Stopping times occurring simultaneously
- Implementing Markovian models for extendible Marshall-Olkin distributions
- Sampling exchangeable and hierarchical Marshall-Olkin distributions
- Linear credit risk models
- Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk
- A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence
- Modeling Dependent Outages of Electric Power Plants
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