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Dynamics of multivariate default system in random environment

Author

Listed:
  • Nicole El Karoui

    (LPMA)

  • Monique Jeanblanc

    (LaMME)

  • Ying Jiao

    (SAF)

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.

Suggested Citation

  • Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2015. "Dynamics of multivariate default system in random environment," Papers 1509.09133, arXiv.org, revised Nov 2016.
    • Handle: RePEc:arx:papers:1509.09133
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    References listed on IDEAS

    as
    1. Elja Arjas, 1981. "A Stochastic Process Approach to Multivariate Reliability Systems: Notions Based on Conditional Stochastic Order," Mathematics of Operations Research, INFORMS, vol. 6(2), pages 263-276, May.
    2. El Karoui, Nicole & Jeanblanc, Monique & Jiao, Ying, 2010. "What happens after a default: The conditional density approach," Stochastic Processes and their Applications, Elsevier, vol. 120(7), pages 1011-1032, July.
    3. Amendinger, Jürgen, 2000. "Martingale representation theorems for initially enlarged filtrations," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 101-116, September.
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