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Dokumenttyp:
Buchbeitrag 
Autor(en):
Brigo, D.; Mai, J.-F.; Scherer, M.; Sloot, H. 
Titel:
Consistent iterated simulation of multivariate defaults: Markov indicators, lack of memory, extreme-value copulas, and the Marshall-Olkin distribution 
Abstract:
A current market-practice to incorporate multivariate defaults in global risk-factor simulations is the iteration of (multiplicative) i.i.d. survival indicator increments along a given time-grid, where the indicator distribution is based on a copula ansatz. The underlying assumption is that the behavior of the resulting iterated default distribution is similar to the one-shot distribution. It is shown that in most cases this assumption is not fulfilled and furthermore numerical analysis is prese...    »
 
Stichworte:
Stepwise default simulation; default dependence; default simulation; extreme-value copulas; Marshall-Olkin distribution; nested margining; Freund distribution; looping default models; multivariate phase-type distribution 
Buchtitel:
Innovations in Insurance, Risk- and Asset Management 
Titelzusatz:
Proceedings of the Innovations in Insurance, Risk- and Asset Management Conference 
Verlag / Institution:
World Scientific 
Jahr:
2018 
Sprache:
en 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik