powerful for the modelling of multivariate processes. Different types of dynamic intensity models are presented in Section 4. 2 … intensity models. One im- portant extension of a homogenous Poisson process it to allow the intensity to be directed by a real … of intensity models which is relevant in the literature of financial point processes is given by a specification where …

Component Models, Intensity Models, Monte Carlo Likelihood. 1 Introduction Systematic credit risk factors play a dominant … rating and default data at the micro level using intensity models with unobserved common risk factors. The data used are …