Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law
Document type:
Zeitschriftenaufsatz
Author(s):
Brigo, D.; Mai, J.-F.; Scherer, M.
Non-TUM Co-author(s):
ja
Cooperation:
international
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).