Extending the intensity model with joint defaults to incorporate the lasting effects from common credit events

DOI10.1002/ASMB.2371MaRDI QIDQ6574588zbMATH OpenFDO

Authors Daniel Wei-Chung Miao, Xenos Chang-Shuo Lin, Steve Hsin-Ting Yu, Yung-Hsin Lee

Publication date 18 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASMB.2371

zbMATH Keywords

common credit eventsjoint defaults modelslasting effectsmultiname credit derivatives

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A family of bivariate exponential distributions and their copulas
• A Multivariate Exponential Distribution
• Basket CDS pricing with interacting intensities
• CDO pricing with nested Archimedean copulas
• Correlation structure of the Marshall-Olkin bivariate exponential distribution
• Efficient hybrid methods for portfolio credit derivatives
• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• On Cox processes and credit risky securities
• Pricing and hedging of portfolio credit derivatives with interacting default intensities
• Pricing the risks of default

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