Abstract
This paper studies an important issue of dependence structure. To model this structure, the intensities within the Cox processes are driven by dependent shot noise processes, where jumps occur simultaneously and their sizes are correlated. The joint survival probability of the integrated intensities is explicitly obtained from the copula with exponential marginal distributions. Subsequently, this result can provide a very useful guide for credit risk management.
Highlights
Modeling and evaluation of credit risk have been popular subjects for the last decade
Since Jarrow and Turnbull [2], one credit risk modeling development has been based on the default intensity of a Poisson process
The Poisson process counts the number of events and the time that these events occur in a given time interval
Summary
Data Availability Statement: All relevant data are within the paper. The funders had no role in study design, data collection and analysis, decision to publish, or preparation of the manuscript
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