Dynamics of multivariate default system in random environment

Nicole El Karoui, Monique Jeanblanc and Ying Jiao
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Nicole El Karoui: LPMA
Monique Jeanblanc: LaMME
Ying Jiao: SAF

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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.

Date: 2015-09, Revised 2016-11
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1509.09133

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