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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Scherer, M.; Schmid, L.; Schmidt, T. 
Nicht-TUM Koautoren:
ja 
Kooperation:
national 
Titel:
Shot-noise driven multivariate default models 
Abstract:
The recent financial crisis, responsible for massive accumulations of credit events, emphasizes the urgent need for adequate portfolio default models. Due to the high dimensionality of real credit portfolios, balancing flexibility and numerical tractability is of uttermost importance. To acknowledge this, a multivariate default model with interesting stylized properties is introduced in the following way: a non-decreasing shot- noise process serves as common stochastic clock. Individual default...    »
 
Stichworte:
multivariate default model; shot-noise process; default dependence; copula; contagion effect; tail dependence; catastrophe derivatives 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
European Actuarial Journal 
Jahr:
2012 
Band / Volume:
Heft / Issue:
Seitenangaben Beitrag:
161-186 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein