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Titel:

Shot-noise driven multivariate default models

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Scherer, M.; Schmid, L.; Schmidt, T.
Nicht-TUM Koautoren:
ja
Kooperation:
national
Abstract:
The recent financial crisis, responsible for massive accumulations of credit events, emphasizes the urgent need for adequate portfolio default models. Due to the high dimensionality of real credit portfolios, balancing flexibility and numerical tractability is of uttermost importance. To acknowledge this, a multivariate default model with interesting stylized properties is introduced in the following way: a non-decreasing shot- noise process serves as common stochastic clock. Individual default...     »
Stichworte:
multivariate default model; shot-noise process; default dependence; copula; contagion effect; tail dependence; catastrophe derivatives
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
European Actuarial Journal
Jahr:
2012
Band / Volume:
2
Heft / Issue:
2
Seitenangaben Beitrag:
161-186
Reviewed:
ja
Sprache:
en
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Format:
Text
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
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