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Titel:

Consistent iterated simulation of multivariate defaults: Markov indicators, lack of memory, extreme-value copulas, and the Marshall-Olkin distribution

Dokumenttyp:
Buchbeitrag
Autor(en):
Brigo, D.; Mai, J.-F.; Scherer, M.; Sloot, H.
Nicht-TUM Koautoren:
ja
Kooperation:
international
Abstract:
A current market-practice to incorporate multivariate defaults in global risk-factor simulations is the iteration of (multiplicative) i.i.d. survival indicator increments along a given time-grid, where the indicator distribution is based on a copula ansatz. The underlying assumption is that the behavior of the resulting iterated default distribution is similar to the one-shot distribution. It is shown that in most cases this assumption is not fulfilled and furthermore numerical analysis is prese...     »
Stichworte:
Stepwise default simulation; default dependence; default simulation; extreme-value copulas; Marshall-Olkin distribution; nested margining; Freund distribution; looping default models; multivariate phase-type distribution
Buchtitel:
Innovations in Insurance, Risk- and Asset Management
Titelzusatz:
Proceedings of the Innovations in Insurance, Risk- and Asset Management Conference
Intellectual Contribution:
Discipline-based Research
Verlag / Institution:
World Scientific
Jahr:
2018
Sprache:
en
DOI:
doi:10.1142/9789813272569_0003
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Peer reviewed:
ja
commissioned:
not commissioned
Interdisziplinarität:
Nein
Leitbild:
;
Technology:
Nein
Ethics und Sustainability:
Nein
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