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공공누리This item is licensed Korea Open Government License

Title
Joint survival probability via truncated invariant copula
Author(s)
김정훈마용기박찬열
Publication Year
2016-04-01
Abstract
Given an intensity-based credit risk model, this paper studies dependence structure between default intensities. To model this structure, we use a multivariate shot noise intensity process, where jumps occur simultaneously and their sizes are correlated. Through very lengthy algebra, we obtain explicitly the joint survival probability of the integrated intensities by using the truncated invariant Farlie–Gumbel–Morgenstern copula with exponential marginal distributions. We also apply our theoretical result to pricing basket default swap spreads. This result can provide a useful guide for credit risk management.
Keyword
Joint survival probability; Truncated invariant FGM copula; Shot noise process; Basket default swap; Intensity model
Journal Title
Chaos, Solitons & Fractals
Citation Volume
85
ISSN
0960-0779
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Appears in Collections:
7. KISTI 연구성과 > 학술지 발표논문
URI
https://repository.kisti.re.kr/handle/10580/14501
http://www.ndsl.kr/ndsl/search/detail/article/articleSearchResultDetail.do?cn=NART75076397
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