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arXiv · 1509.09133

Dynamics of multivariate default system in random environment

Nicole El Karoui·Monique Jeanblanc·Ying Jiao
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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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Nicole El Karoui, Monique Jeanblanc, Ying Jiao. 2015-09-30. Dynamics of multivariate default system in random environment. https://arxiv.org/abs/1509.09133

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