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Dynamics of multivariate default system in random environment

Nicole El Karoui (), Monique Jeanblanc () and Ying Jiao ()
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Nicole El Karoui: LPMA - Laboratoire de Probabilités et Modèles Aléatoires - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique
Monique Jeanblanc: LaMME - Laboratoire de Mathématiques et Modélisation d'Evry - INRA - Institut National de la Recherche Agronomique - UEVE - Université d'Évry-Val-d'Essonne - ENSIIE - CNRS - Centre National de la Recherche Scientifique
Ying Jiao: SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon

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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.

Keywords: prediction process; Multiple defaults; density approach; change of probability measure (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-rmg
Date: 2017-03-17
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01205753v2
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Published in Stochastic Processes and their Applications, Elsevier, 2017, 127 (12), pp.3943-3965

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