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Density approach in modelling multi-defaults


  • Nicole El Karoui

    () (LPMA - Laboratoire de Probabilités et Modèles Aléatoires - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique)

  • Monique Jeanblanc

    () (Laboratoire Analyse et Probabilités - UEVE - Université d'Évry-Val-d'Essonne - PRES Universud Paris - Fédération de Mathématiques d'Evry Val d'Essonne)

  • Ying Jiao

    () (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)


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.

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  • Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2013. "Density approach in modelling multi-defaults," Working Papers hal-00870492, HAL.
  • Handle: RePEc:hal:wpaper:hal-00870492
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    References listed on IDEAS

    1. Philippe Ehlers & Philipp Schönbucher, 2009. "Background filtrations and canonical loss processes for top-down models of portfolio credit risk," Finance and Stochastics, Springer, vol. 13(1), pages 79-103, January.
    2. Tomasz Bielecki & Stephane Crepey & Monique Jeanblanc, 2010. "Up and down credit risk," Quantitative Finance, Taylor & Francis Journals, vol. 10(10), pages 1137-1151.
    3. Alexander Herbertsson, 2011. "Modelling default contagion using multivariate phase-type distributions," Review of Derivatives Research, Springer, vol. 14(1), pages 1-36, April.
    4. Rama Cont & Andreea Minca, 2013. "Recovering portfolio default intensities implied by CDO quotes," Post-Print hal-00413730, HAL.
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    Cited by:

    1. Christophette Blanchet-Scalliet & Diana Dorobantu & Yahia Salhi, 2016. "A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives," Working Papers hal-01258645, HAL.
    2. Christophette Blanchet-Scalliet & Diana Dorobantu & Yahia Salhi, 2017. "A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives," Post-Print hal-01258645, HAL.

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