Dynamics of multivariate default system in random environment

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.
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Submitted on : Wednesday, November 16, 2016 - 1:46:09 PM
Last modification on : Tuesday, May 14, 2019 - 10:58:00 AM
Long-term archiving on : Thursday, March 16, 2017 - 6:33:15 PM

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  • HAL Id : hal-01205753, version 2
  • ARXIV : 1509.09133

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Nicole El Karoui, Monique Jeanblanc, Ying Jiao. Dynamics of multivariate default system in random environment. Stochastic Processes and their Applications, Elsevier, 2017, 127 (12), pp.3943-3965. ⟨hal-01205753v2⟩

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