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Relevant bibliographies by topics / Joint default probability

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Journal articles

Academic literature on the topic 'Joint default probability'

Author: Grafiati

Published: 11 March 2023

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Journal articles on the topic "Joint default probability"

1

Valužis, M. "On the Probabilities of Correlated Defaults: a First Passage Time Approach." Nonlinear Analysis: Modelling and Control 13, no. 1 (2008): 117–33. http://dx.doi.org/10.15388/na.2008.13.1.14593.

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This article investigates the joint probability of correlated defaults in the first passage time approach of credit risk subject to condition that the underlying firms’ assets values and the default boundaries follow geometric Brownian motion processes. The exact analytical expression of joint probability of two correlated defaults in the case of stochastic default boundaries is presented. Also, some properties of this solution are provided.

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2

Durante, Fabrizio, Juan Fernández-Sánchez, and Wolfgang Trutschnig. "On the singular components of a copula." Journal of Applied Probability 52, no. 4 (2015): 1175–82. http://dx.doi.org/10.1239/jap/1450802760.

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We analyze copulas with a nontrivial singular component by using their Markov kernel representation. In particular, we provide existence results for copulas with a prescribed singular component. The constructions not only help to deal with problems related to multivariate stochastic systems of lifetimes when joint defaults can occur with a nonzero probability, but even provide a copula maximizing the probability of joint default.

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3

Durante, Fabrizio, Juan Fernández-Sánchez, and Wolfgang Trutschnig. "On the singular components of a copula." Journal of Applied Probability 52, no. 04 (2015): 1175–82. http://dx.doi.org/10.1017/s0021900200113154.

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We analyze copulas with a nontrivial singular component by using their Markov kernel representation. In particular, we provide existence results for copulas with a prescribed singular component. The constructions not only help to deal with problems related to multivariate stochastic systems of lifetimes when joint defaults can occur with a nonzero probability, but even provide a copula maximizing the probability of joint default.

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4

Husodo, Zaafri Ananto, Sigit Sulistyo Wibowo, Muhammad Budi Prasetyo, Usman Arief, and Maulana Harris Muhajir. "ESTIMATING A JOINT PROBABILITY OF DEFAULT INDEX FOR INDONESIAN BANKS: A COPULA APPROACH." Buletin Ekonomi Moneter dan Perbankan 23, no. 3 (2020): 389–412. http://dx.doi.org/10.21098/bemp.v23i3.1358.

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We develop a joint default probability index to signal potential systemic risks in the highly concentrated Indonesian banking industry. To build the index, we estimate bank-level tail risks using monthly bank financial reports. We use the copula approach to derive the joint multivariate dependencies at the bank level, as reflected in the monthly financial reports. Our results, which are based on a sample of 104 banks fromDecember 2003 to April 2020, show joint multivariate dependencies at the bank level suggesting that the standard univariate normal distribution is unsuitable for capturing tai

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5

Chen, Yu, and Yu Xing. "Basket Credit Default Swap Pricing with Two Defaultable Counterparties." Discrete Dynamics in Nature and Society 2022 (March 22, 2022): 1–17. http://dx.doi.org/10.1155/2022/3844001.

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In this paper, we study the basket CDS pricing with two defaultable counterparties based on the reduced-form model. The default jump intensities of the reference firms and counterparties are all assumed to follow the mean-reverting constant elasticity of variance (CEV) processes. Taking the Vasicek process which is a special case of CEV process as an example, the approximate analytic solutions of the joint survival probability density, the probability densities of the first default and the first two defaults can be solved by using PDE method. In addition, we also extend the Vasciek process to

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6

LI, WEIPING, and TIM KREHBIEL. "AN IMPROVED APPROACH TO EVALUATE DEFAULT PROBABILITIES AND DEFAULT CORRELATIONS WITH CONSISTENCY." International Journal of Theoretical and Applied Finance 19, no. 05 (2016): 1650036. http://dx.doi.org/10.1142/s0219024916500369.

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We provide (i) a simplified analytic closed form formula for evaluating joint default probability, (ii) an improved method to resolve the inconsistency between the univariate process underlying firm-specific default probability and the correlated bivariate process of the first-passage-time default correlation model, (iii) illustration of risk management implications from misspecification of the default state space. Our closed form formula provides a natural extension of previous structural first-passage-time models and shows the sensitivities of default correlation numerically with respect to

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7

Pang, Sulin, Jinwang Xiao, and Shuqing Li. "Pricing method and applications for the farmer's joint liability based on intensity model and Monte Carlo simulation." Journal of Financial Engineering 02, no. 01 (2015): 1550008. http://dx.doi.org/10.1142/s2345768615500087.

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This paper studies the pricing problem of group lending using the strength model and the Monte Carlo simulation method. Simulating the default process of farmers with a Poisson process, this paper describes the default distribution for farmers, and based on which the paper establishes the pricing model of the group lending and obtains the critical number of the defaulted farmers and the default probability for the group. Next, this paper introduces the t-Copula function to describe the default correlation between farmers, and obtains the partially analytical solution of the loan rate for the g

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8

Pianeti, Riccardo, Rosella Giacometti, and Valentina Acerbis. "Estimating the Joint Probability of Default Using CreditDefault Swap and Bond Data." Journal of Fixed Income 21, no. 3 (2011): 44–58. http://dx.doi.org/10.3905/jfi.2012.21.3.044.

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9

CIRILLO, PASQUALE, JÜRG HÜSLER, and PIETRO MULIERE. "A NONPARAMETRIC URN-BASED APPROACH TO INTERACTING FAILING SYSTEMS WITH AN APPLICATION TO CREDIT RISK MODELING." International Journal of Theoretical and Applied Finance 13, no. 08 (2010): 1223–40. http://dx.doi.org/10.1142/s0219024910006170.

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In this paper we propose a new nonparametric approach to interacting failing systems (FS), that is systems whose probability of failure is not negligible in a fixed time horizon, a typical example being firms and financial bonds. The main purpose when studying a FS is to calculate the probability of default and the distribution of the number of failures that may occur during the observation period. A model used to study a failing system is defined default model. In particular, we present a general recursive model constructed by the means of interacting urns. After introducing the theoretical m

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10

Orlando, Giuseppe, and Roberta Pelosi. "Non-Performing Loans for Italian Companies: When Time Matters. An Empirical Research on Estimating Probability to Default and Loss Given Default." International Journal of Financial Studies 8, no. 4 (2020): 68. http://dx.doi.org/10.3390/ijfs8040068.

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Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply, risk-taking is natural, as in many human activities. Among risks related to credit intermediation, credit risk assumes particular importance. It is most simply defined as the potential that a bank borrower or counterparty fails to fulfil correctly at maturity the pecuniary obligations assumed as principal and interest. Whenever this happens, a loan is non-performing. Among the main risk components, the Probability of Default (PD) and the Loss Given Default (LGD) have been the subjec

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