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Titel:

A tractable multivariate default model based on a stochastic time-change

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Mai, J.; Scherer, M.
Nicht-TUM Koautoren:
nein
Kooperation:
-
Abstract:
A stochastic time-change is applied to introduce dependence to a portfolio of credit-risky assets whose default times are modeled as random variables with arbitrary distribution. The dependence structure of the vector of default times is completely separated from its marginal default probabilities, making the model analytically tractable. This separation is achieved by restricting the time-change to suitable Levy subordinators which preserve the marginal distributions. Jumps of the Levy subordin...     »
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
International Journal of Theoretical and Applied Finance
Jahr:
2009
Band / Volume:
12
Heft / Issue:
2
Seitenangaben Beitrag:
227-249
Reviewed:
ja
Sprache:
en
Status:
Verlagsversion / published
Format:
Text
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
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