On the Probabilities of Correlated Defaults: a First Passage Time Approach

M. Valužis

doi:10.15388/NA.2008.13.1.14593

Articles

M. Valužis

Vilnius University, Lithuania

Published 2008-01-25

https://doi.org/10.15388/NA.2008.13.1.14593

PDF

Keywords

correlated defaults
joint probability of default
implied correlation

How to Cite

Valužis, M. (2008) “On the Probabilities of Correlated Defaults: a First Passage Time Approach”, Nonlinear Analysis: Modelling and Control, 13(1), pp. 117–133. doi:10.15388/NA.2008.13.1.14593.

Download Citation

Abstract

This article investigates the joint probability of correlated defaults in the first passage time approach of credit risk subject to condition that the underlying firms’ assets values and the default boundaries follow geometric Brownian motion processes. The exact analytical expression of joint probability of two correlated defaults in the case of stochastic default boundaries is presented. Also, some properties of this solution are provided.

PDF

Downloads

Download data is not yet available.

Most read articles by the same author(s)

Kusum Lata, Arvind Kumar Kumar Misra, Jang Bahadur Bahadur Shukla, Modeling the effect of deforestation caused by human population pressure on wildlife species , Nonlinear Analysis: Modelling and Control: Vol. 23 No. 3 (2018): Nonlinear Analysis: Modelling and Control
Yong Zhang, Zengqiang Chen, Mingwei Sun, Xinghui Zhang, Trajectory tracking control of a quadrotor UAV based on sliding mode active disturbance rejection control , Nonlinear Analysis: Modelling and Control: Vol. 24 No. 4 (2019): Nonlinear Analysis: Modelling and Control
Jingting Hu, Guixia Sui, Xiaoxiao Lu, Xiaodi Li, Fixed-time control of delayed neural networks with impulsive perturbations , Nonlinear Analysis: Modelling and Control: Vol. 23 No. 6 (2018): Nonlinear Analysis: Modelling and Control
Min Guo, Haoyu Dong, Jianxin Liu, Hongwei Yang, The time-fractional mZK equation for gravity solitary waves and solutions using sech-tanh and radial basic function method , Nonlinear Analysis: Modelling and Control: Vol. 24 No. 1 (2019): Nonlinear Analysis: Modelling and Control
Gediminas Gaidulis, Matteo Selmi, Diana Zakarkaitė, Audrius Aidietis, Rimantas Kačianauskas, Modelling and simulation of mitral valve for transapical repair applications , Nonlinear Analysis: Modelling and Control: Vol. 24 No. 4 (2019): Nonlinear Analysis: Modelling and Control
Guo-Cheng Wu, Thabet Abdeljawad, Jinliang Liu, Dumitru Baleanu, Kai-Teng Wu, Mittag-Leffler stability analysis of fractional discrete-time neural networks via fixed point technique , Nonlinear Analysis: Modelling and Control: Vol. 24 No. 6 (2019): Nonlinear Analysis: Modelling and Control
Fanchao Kong, Quanxin Zhu, Feng Liang, Juan J. Nieto, Robust fixed-time synchronization of discontinuous Cohen–Grossberg neural networks with mixed time delays , Nonlinear Analysis: Modelling and Control: Vol. 24 No. 4 (2019): Nonlinear Analysis: Modelling and Control
Mustafa Inc, Aliyu Isa Isa Aliyu, Abdullahi Yusuf, Dumitru Baleanu, Optical solitons and modulation instability analysis to the quadratic-cubic nonlinear Schrödinger equation , Nonlinear Analysis: Modelling and Control: Vol. 24 No. 1 (2019): Nonlinear Analysis: Modelling and Control
A. Lahrouz, L. Omari, D. Kiouach, Global analysis of a deterministic and stochastic nonlinear SIRS epidemic model , Nonlinear Analysis: Modelling and Control: Vol. 16 No. 1 (2011): Nonlinear Analysis: Modelling and Control
Lijun Pan, Jinde Cao, Ahmed Alsaedi, Stability of reaction–diffusion systems with stochastic switching , Nonlinear Analysis: Modelling and Control: Vol. 24 No. 3 (2019): Nonlinear Analysis: Modelling and Control

1 2 3 4 5 > >>