Shot-noise driven multivariate default models

DOI10.1007/S13385-012-0059-ZMaRDI QIDQ1936462zbMATH OpenOpenAlexFDO

Authors Matthias Scherer, Ludwig Schmid, Thorsten Schmidt

Publication date 5 February 2013

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13385-012-0059-z

zbMATH Keywords

copulatail dependencedefault dependenceshot-noise processcatastrophe derivativescontagion effectmultivariate default model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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• Catastrophe Risk Bonds
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• Credit risk: Modelling, valuation and hedging
• Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
• Dynamic CDO term structure modeling
• Families of Multivariate Distributions
• Lévy-frailty copulas
• Multivariate insurance models: an overview
• PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
• Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Shot-noise processes and the minimal martingale measure
• Tails of multivariate Archimedean copulas
• Term-structure models. A graduate course
• The Accurate Numerical Inversion of Laplace Transforms

Cited in

(9)

• Dynamic defaultable term structure modeling beyond the intensity paradigm
• Generalized Pareto processes and fund liquidity risk
• Shot-noise processes in finance
• Pricing basket default swaps in a tractable shot noise model
• An asymptotic characterization of hidden tail credit risk with actuarial applications
• Numerical aspects of shot noise representation of infinitely divisible laws and related processes
• A multivariate default model with spread and event risk
• Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk
• Shock models for defaults: parametric and nonparametric approaches

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