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arxiv: 1509.09133 · v2 · pith:5P3JPHVAnew · submitted 2015-09-30 · 💱 q-fin.RM · math.PR· q-fin.MF

Dynamics of multivariate default system in random environment

classification 💱 q-fin.RM math.PRq-fin.MF
keywords systemdefaultdynamicsenvironmentalinformationmultivariaterandomadopt
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We consider a multivariate default system where random environmental information is available. We study the dynamics of the system in a general setting and adopt the point of view of change of probability measures. We also make a link with the density approach in the credit risk modelling. In the particular case where no environmental information is concerned, we pay a special attention to the phenomenon of system weakened by failures as in the classical reliability system.

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