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15 janvier 2015
- handle: 10670/1.nm3o0v
- hal: hal-00870492
info:eu-repo/semantics/OpenAccess
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-fin]/Risk Management [q-fin.RM]Sujets proches
Modelmaking Modelling Model-making Molding (Clay, plaster, etc.) Clay modeling Modelling Funds Funding Finance, commerce, confiscations, etcCiter ce document
Nicole El Karoui et al., « Density approach in modelling successive defaults », HAL-SHS : économie et finance, ID : 10670/1.nm3o0v
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Résumé
We apply the default density framework developed in El Karoui et al. \cite{ejj1} to modelling of multiple defaults, which can be adapted to both top-down and bottom-up models. We present general pricing results and establish links with the classical intensity approach. Explicit models are also proposed by using the methods of change of probability measure or dynamic copula.