We present a unification of the Archimedean and the Lévy-frailty copula model for portfolio default models. The new default model exhibits a copula known as scale mixture of Marshall-Olkin copulas and an investigation of the dependence structure reveals that desirable properties of both...

We present a new portfolio default model based on a conditionally independent and identically distributed (CIID) structure of the default times. It combines an intensity-based ansatz in the spirit of Duffie and Gârleanu (2001). Risk and valuation of collateralized debt obligations. <italic>Financial...</italic>

We investigate under which conditions a single simulation of joint default times at a final time horizon can be decomposed into a set of simulations of joint defaults on subsequent adjacent sub-periods leading to that final horizon. Besides the theoretical interest, this is also a practical...

Two stochastic representations of multivariate geometric distributions are analyzed, both are obtained by lifting the lack-of-memory (LM) property of the univariate geometric law to the multivariate case. On the one hand, the narrow-sense multivariate geometric law can be considered a discrete...

A stochastic time-change is applied to introduce dependence to a portfolio of credit-risky assets whose default times are modeled as random variables with arbitrary distribution. The dependence structure of the vector of default times is completely separated from its marginal default...

A parametric family of n-dimensional extreme-value copulas of Marshall-Olkin type is introduced. Members of this class arise as survival copulas in Lévy-frailty models. The underlying probabilistic construction introduces dependence to initially independent exponential random variables by means...

The Pickands representation of an arbitrary survival Marshall-Olkin copula is computed. In dimension d>=2, the corresponding dependence measure is discrete with support consisting of 2d-1 atoms on the d-dimensional unit simplex.

A probabilistic interpretation for hierarchical Archimedean copulas based on Lévy subordinators is given. Independent exponential random variables are divided by group-specific Lévy subordinators which are evaluated at a common random time. The resulting random vector has a hierarchical...

In this article, the dependence structure of the asset classes stocks, government bonds, and corporate bonds in different market environments and its implications on asset management are investigated for the US, European, and Asian market. Asset returns are modelled by a Markov-switching model...