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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...

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Detalles Bibliográficos
Autor principal: Ma, Yong-Ki
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
Descripción
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.