Multivariate Survival Modelling: A Unified Approach with Copulas

72 Pages Posted: 26 Nov 2007

See all articles by Pierre Georges

Pierre Georges

Credit Lyonnais Asset Management

Arnaud-Guilhem Lamy

affiliation not provided to SSRN

Emeric Nicolas

affiliation not provided to SSRN

Guillaume Quibel

affiliation not provided to SSRN

Thierry Roncalli

Amundi Asset Management; University of Evry

Date Written: May 28, 2001

Abstract

In this paper, we review the use of copulas for multivariate survival modelling. In particular, we study properties of survival copulas and discuss the dependence measures associated to this construction. Then, we consider the problem of competing risks. We derive the distribution of the failure time and order statistics. After having presented statistical inference, we finally provide financial applications which concern the life time value (attrition models), the link between default, prepayment and credit life, the measure of risk for a credit portfolio and the pricing of credit derivatives.

Keywords: Survival copula, frailty model, ageing concepts, competing risks, failure time, order statistics, prepayment, credit risk measure, default mode, correlated defaults, risk-bucket capital charge, default digital put, credit default swap, first-to-default

JEL Classification: G00

Suggested Citation

Georges, Pierre and Lamy, Arnaud-Guilhem and Nicolas, Emeric and Quibel, Guillaume and Roncalli, Thierry, Multivariate Survival Modelling: A Unified Approach with Copulas (May 28, 2001). Available at SSRN: https://ssrn.com/abstract=1032559 or http://dx.doi.org/10.2139/ssrn.1032559

Pierre Georges

Credit Lyonnais Asset Management ( email )

75002 Paris
France

Arnaud-Guilhem Lamy

affiliation not provided to SSRN ( email )

No Address Available

Emeric Nicolas

affiliation not provided to SSRN ( email )

No Address Available

Guillaume Quibel

affiliation not provided to SSRN ( email )

No Address Available

Thierry Roncalli (Contact Author)

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

University of Evry ( email )

Boulevard Francois Mitterrand
F-91025 Evry Cedex
France

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