The paper explores the fit properties of a class of multivariate Lévy processes, which are characterized as time-changed correlated Brownian motions. The time-change has a common and an idiosyncratic component, to reflect the properties of trade, which it represents. The resulting process may...

Time changed Brownian motions are extensively applied as decision models for asset returns in Finance. On the other hand infinite divisible normal mixtures generate time changed Brownian motions. The standard generalization leading to the multivariate setting of normal mean variance mixtures...

This paper studies the consequences of capturing non-linear dependence among the covariates that drive the default of different obligors and the overall riskiness of their credit portfolio. Joint default modeling is, without loss of generality, the classical Bernoulli mixture model. Using an...

The issue of model risk in default modeling has been known since inception of the Academic literature in the field. However, a rigorous treatment requires a description of all the possible models, and a measure of the distance between a single model and the alternatives, consistent with the...