Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law

Dokumenttyp:: Zeitschriftenaufsatz
Autor(en):: Brigo, D.; Mai, J.-F.; Scherer, M.
Nicht-TUM Koautoren:: ja
Kooperation:: international
Titel:: Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law
Abstract:: A new characterization of the Marshall–Olkin distribution is provided: all sub-vectors of the associated survival indicators are continuous-time Markov chains. This property is crucial to overcome practical limitations for the modeling of high-dimensional default times (rebalancing, iterative simulation, consistent sub-portfolios).
Stichworte:: Stepwise default simulation; Default-risk modeling; Default dependence; Portfolio credit risk; Marshall–Olkin distribution; Nested margining property
Intellectual Contribution:: Discipline-based Research
Zeitschriftentitel:: Statistics and Probability Letters
Jahr:: 2016
Seitenangaben Beitrag:: 60-66
Reviewed:: ja
Sprache:: en
Volltext / DOI:: doi:10.1016/j.spl.2016.03.013
Status:: Verlagsversion / published
Angenommen (von Zeitschrift):: 10.03.2016
Publikationsdatum:: 25.03.2016
TUM Einrichtung:: Lehrstuhl für Finanzmathematik
Format:: Text
Key publication:: Nein
Peer reviewed:: Nein
International:: Ja
Book review:: Nein
commissioned:: not commissioned
Professional Journal:: Nein
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