Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law
File(s)BrigoMaiScherer_2015SPL_revision_March2016.pdf (341.39 KB)
Accepted version
Author(s)
Brigo, D
Mai, JF
Scherer, M
Type
Journal Article
Abstract
A new characterization of the Marshall–Olkin distribution is provided: all subvectors
of the associated survival indicators are continuous-time Markov chains.
This property is crucial to overcome practical limitations for the modeling of highdimensional
default times (rebalancing, iterative simulation, consistent sub-portfolios).
of the associated survival indicators are continuous-time Markov chains.
This property is crucial to overcome practical limitations for the modeling of highdimensional
default times (rebalancing, iterative simulation, consistent sub-portfolios).
Date Issued
2016-03-25
Date Acceptance
2016-03-10
Citation
Statistics & Probability Letters, 2016, 114, pp.60-66
ISSN
0167-7152
Publisher
Elsevier
Start Page
60
End Page
66
Journal / Book Title
Statistics & Probability Letters
Volume
114
Copyright Statement
© 2016, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Subjects
Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
Stepwise default simulation
Default-risk modeling
Default dependence
Portfolio credit risk
Marshall-Olkin distribution
Nested margining property
PHASE-TYPE DISTRIBUTIONS
EXPONENTIAL-DISTRIBUTION
MULTIVARIATE
RISK
0102 Applied Mathematics
0104 Statistics
1403 Econometrics
Publication Status
Published