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Document type:
Zeitschriftenaufsatz 
Author(s):
Brigo, D.; Mai, J.-F.; Scherer, M. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
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). 
Keywords:
Stepwise default simulation; Default-risk modeling; Default dependence; Portfolio credit risk; Marshall–Olkin distribution; Nested margining property 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Statistics and Probability Letters 
Year:
2016 
Pages contribution:
60-66 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Accepted:
10.03.2016 
Date of publication:
25.03.2016 
TUM Institution:
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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