Cargando…
Modeling the Dependency Structure of Integrated Intensity Processes
This paper studies an important issue of dependence structure. To model this structure, the intensities within the Cox processes are driven by dependent shot noise processes, where jumps occur simultaneously and their sizes are correlated. The joint survival probability of the integrated intensities...
Autor principal: | |
---|---|
Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Public Library of Science
2015
|
Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4535994/ https://www.ncbi.nlm.nih.gov/pubmed/26270638 http://dx.doi.org/10.1371/journal.pone.0134992 |
Sumario: | This paper studies an important issue of dependence structure. To model this structure, the intensities within the Cox processes are driven by dependent shot noise processes, where jumps occur simultaneously and their sizes are correlated. The joint survival probability of the integrated intensities is explicitly obtained from the copula with exponential marginal distributions. Subsequently, this result can provide a very useful guide for credit risk management. |
---|