A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE
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Cites work
- A continuous general multivariate distribution and its properties
- CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Lévy Processes and Stochastic Calculus
- Order Statistics
Cited in
(16)- Shot-noise driven multivariate default models
- Moment-based estimation of extendible Marshall-Olkin copulas
- Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
- Pricing industry loss warranties in a Lévy-Frailty framework
- Multivariate Archimax copulas
- A Marshall-Olkin type multivariate model with underlying dependent shocks
- Dependence properties of dynamic credit risk models
- Reparameterizing Marshall–Olkin copulas with applications to sampling
- Default Times in a Continuous-Time Markovian Regime Switching Model
- A multivariate default model with spread and event risk
- scientific article; zbMATH DE number 2101245 (Why is no real title available?)
- Sampling exchangeable and hierarchical Marshall-Olkin distributions
- Default forecast with auxiliary information using a logarithmic transformation model
- Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk
- Modelling stylized features in default rates
- Characterizations of multivariate distributions with limited memory revisited: an analytical approach
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