Based on joint subordination, dependent multi-dimensional compound Poisson processes are constructed. The time-changed processes are used to introduce a new stochastic volatility model for asset price returns and to build multi-dimensional generalizations of popular univariate jump-diffusion models. Moreover, worst-case dependence structures between portfolio values and the default times of the contractual parties to a derivative transaction, which lead to extremal wrong-way risk, are established.     «

Based on joint subordination, dependent multi-dimensional compound Poisson processes are constructed. The time-changed processes are used to introduce a new stochastic volatility model for asset price returns and to build multi-dimensional generalizations of popular univariate jump-diffusion models. Moreover, worst-case dependence structures between portfolio values and the default times of the contractual parties to a derivative transaction, which lead to extremal wrong-way risk, are establishe...     »