Dependent Stopping Times and Application to Credit Risk Theory - BQE Lecture Series
New York University (NYU) via YouTube
Overview
Syllabus
Intro
Stopping Times and Compensators
Cox Construction
Two Stopping Times
Instantaneous Default
Distance between the Stopping Times
Interpretation of Joint Distribution
Generalization to K Stopping Times
Credit Risk Application
Our Measure of Systemic Risk
Constant Default Intensities
Catastrophic Market Failure
Changing the State of the Economy and Banks Balance Sheets
Taught by
NYU Tandon School of Engineering