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Title:

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).
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
Fulltext / DOI:
doi:10.1016/j.spl.2016.03.013
Status:
Verlagsversion / published
Accepted:
10.03.2016
Date of publication:
25.03.2016
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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