Copulas and Conditional Jump Diffusions

Part of the Applied Quantitative Finance book series (AQF)


Enlarging the economic state-variables’ filtration by observing the default process of all available credits has some profound implications on the dynamics of intensities.


  1. T. Aven, A Theorem for determining the compensator of a counting process. Scand. J. Stat. 12(1), 69–72 (1985)Google Scholar
  2. D. Becherer, M. Schweizer, Classical solutions to reaction diffusion systems for hedging problems with interacting itô and point processes. Ann. Appl. Probab. 15(2), 1111–1144 (2005)Google Scholar
  3. P. Brémaud, Point Processes and Queues: Martingale Dynamics (Springer, New York, 1980)Google Scholar
  4. M. Davis, V. Lo, Infectious defaults. Quant. Financ. 1, 305–308 (2001a)CrossRefGoogle Scholar
  5. M. Davis, V. Lo, Modelling default correlation in bond portfolios, in Mastering Risk, Volume 2: Applications, ed. by Carol Alexander (Financial Times, Prentice Hall, 2001b), pp. 141–151Google Scholar
  6. R.J. Elliott, M. Jeanblanc, M. Yor, On models of default risk. Math. Financ. 10(2), 179–195 (2000)CrossRefGoogle Scholar
  7. R. Frey, J. Backhaus, Portfolio credit risk models with interacting default intensities: a Markovian approach (Working Paper, Department of Mathematics, University of Leipzig, 2004)Google Scholar
  8. R. Jarrow, F. Yu, Counterparty risk and the pricing of defaultable securities. J. Financ. LVI(5), 1765–1800 (2001)CrossRefGoogle Scholar
  9. M. Jeanblanc, M. Rutkowski, Modelling of default risk: an overview, in Mathematical Finance: Theory and Practice, ed. by J. Yong, R. Cont (Higher Education Press, Beijing, 2000a), pp. 171–269Google Scholar
  10. M. Jeanblanc, M. Rutkowski, Modelling of default risk: mathematical tools (Working Paper, Université d’Evry and Warsaw University of Technology, 2000b)Google Scholar
  11. J.F. Jouanin, G. Rapuch, G. Riboulet, T. Roncalli, Modelling dependence for credit derivatives with copulas (Working Paper, Groupe de Recherche Operationnelle, Credit Lyonnais, 2001)Google Scholar
  12. S. Kusuoka, A remark on default risk models. Adv. Math. Econ. 1, 69–82 (1999)CrossRefGoogle Scholar
  13. D. Lando, On Cox processes and credit risky securities. Rev. Deriv. Res. 2(2/3), 99–120 (1998)CrossRefGoogle Scholar
  14. I. Norros, A compensator representation of multivariate life length distributions with applications. Scand. J. Stat. 13, 99–112 (1986)Google Scholar
  15. A. Patton, Modelling time-varying exchange rate dependence using the conditional Copula (Working Paper 2001–09, University of California, San Diego, 2001)Google Scholar
  16. P.J. Schönbucher, D Schubert, Copula-dependent default risk in intensity models (Working Paper, Department of Statistics, Bonn University, 2001)Google Scholar
  17. M. Shaked, G. Shanthikumar, The multivariate hazard construction. Stoch. Process. Appl. 24, 241–258 (1987)CrossRefGoogle Scholar
  18. A. Sklar, Fonctions de répartition à \(n\) dimensions et leurs marges. Publications de l’Institut de Statistique de l’Universit é de Paris 8, 229–231 (1959)Google Scholar
  19. F. Yu, Correlated defaults and the valuation of defaultable securities (Working Paper, University of California, Irvine, 2004)Google Scholar

Copyright information

© The Author(s) 2017

Authors and Affiliations

  1. 1.LondonUK

Personalised recommendations