西布亚连接
Sibuya copulas
摘要：
标准的强度为基础的方法建模违约推广的确定性期限结构的生存概率随机通过一个共同的跳跃过程。生存copula的向量的默认时间的推导和它被证明是明确的和功能的形式处理的工作Sibuya。在Copula函数中，除了跳跃过程的参数外，还出现了违约时间的边际生存函数。因此，Sibuya copula允许函数参数和不对称性。由于构造中的跳跃过程，它们允许单个分量。根据参数的不同，它们也可以是极值copula或Levy-frailty copula。此外，Sibuya copula很容易在任何维度上采样。研究了Sibuya Copula的正下正交依赖、尾依赖和极值依赖性质。首先违约合同定价的应用概述和进一步推广这类Copula的解决。
英文摘要：
The standard intensity-based approach for modeling defaults is generalized by making the deterministic term structure of the survival probability stochastic via a common jump process. The survival copula of the vector of default times is derived and it is shown to be explicit and of the functional form as dealt with in the work of Sibuya. Besides the parameters of the jump process, the marginal survival functions of the default times appear in the copula. Sibuya copulas therefore allow for functional parameters and asymmetries. Due to the jump process in the construction, they allow for a singular component. Depending on the parameters, they may also be extreme-value copulas or Levy-frailty copulas. Further, Sibuya copulas are easy to sample in any dimension. Properties of Sibuya copulas including positive lower orthant dependence, tail dependence, and extremal dependence are investigated. An application to pricing first-to-default contracts is outlined and further generalizations of this copula class are addressed.
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