Shock models for defaults: parametric and nonparametric approaches

DOI10.1142/9789814340564_0007zbMATH Open1414.62159OpenAlexW2064411418MaRDI QIDQ5378902FDOQ5378902

Authors: Pasquale Cirillo, J. Hüsler 

Publication date: 3 June 2019

Published in: Nonparametric Statistics and Mixture Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789814340564_0007

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zbMATH Keywords

momentsconvergencefirst passage timesrenewal theorydefaultshockextremesstopped random walkFirm's failure

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Reliability and life testing (62N05) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Nonparametric inference (62G99) Combinatorial probability (60C05) Financial applications of other theories (91G80)

Cited In (2)

• Extreme shock models: an alternative perspective
• A nonparametric urn-based approach to interacting failing systems with an application to credit risk modeling

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