Density approach in modelling successive defaults
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.
| Origine | Fichiers produits par l'(les) auteur(s) |
|---|
Loading...