Dynamics of multivariate default system in random environment - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2015

Dynamics of multivariate default system in random environment

Résumé

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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Dates et versions

hal-01205753 , version 1 (30-09-2015)
hal-01205753 , version 2 (16-11-2016)

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Nicole El Karoui, Monique Jeanblanc, Ying Jiao. Dynamics of multivariate default system in random environment. 2015. ⟨hal-01205753v1⟩
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