Volume 56, 2017Enlargement of filtrations
|Page(s)||22 - 41|
|Published online||04 September 2017|
Invariance Properties in the Dynamic Gaussian Copula Model*
LaMME, Univ Evry, CNRS, Université Paris-Saclay, 91037, Evry, France
Based on Gaussian tail distribution estimates of independent interest, we study the mathematical properties of the default times (or any of their minima) in the dynamic Gaussian copula model. In particular, depending on the value of the correlation parameter ϱ in the model, the so-called invariance property of CrepeySong15c may be satisfied or not. This gives together an example of a model where the invariance property is satisfied but immersion does not hold, for small ϱ and, for larger ϱ an example of a model where the invariance property may not be satisfied.
Mathematics Subject Classification: 91G40 / 60G07
Key words: counterparty credit risk / wrong-way risk / Gaussian copula / dynamic copula / immersion property / invariance time / CDS
© EDP Sciences, SMAI 2017
This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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