Dynamics of multivariate default system in random environment
Risk Management
2016-11-21 v2 Probability
Mathematical Finance
Abstract
We consider a multivariate default system where random environmental information is available. We study the dynamics of the system in a general setting and adopt the point of view of change of probability measures. We also make a link with the density approach in the credit risk modelling. In the particular case where no environmental information is concerned, we pay a special attention to the phenomenon of system weakened by failures as in the classical reliability system.
Cite
@article{arxiv.1509.09133,
title = {Dynamics of multivariate default system in random environment},
author = {Nicole El Karoui and Monique Jeanblanc and Ying Jiao},
journal= {arXiv preprint arXiv:1509.09133},
year = {2016}
}