Affine Point Processes and Portfolio Credit Risk

@article{Errais2010AffinePP,
  title={Affine Point Processes and Portfolio Credit Risk},
  author={E. Errais and K. Giesecke and L. Goldberg},
  journal={SIAM J. Financial Math.},
  year={2010},
  volume={1},
  pages={642-665}
}
This paper analyzes a family of multivariate point process models of correlated event timing whose arrival intensity is driven by an affine jump diffusion. The components of an affine point process are self- and cross-exciting and facilitate the description of complex event dependence structures. ODEs characterize the transform of an affine point process and the probability distribution of an integer-valued affine point process. The moments of an affine point process take a closed form. This… Expand
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