Shock models for defaults: parametric and nonparametric approaches

DOI10.1142/9789814340564_0007MaRDI QIDQ5378902zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(2)

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

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