Geodesic
Invariance Properties in the Dynamic Gaussian Copula Model
Stéphane Crépey1 ; Shiqi Song1
1 LaMME, Univ Evry, CNRS, Université Paris-Saclay, 91037, Evry, France
ESAIM. Proceedings, Tome 56 (2017), pp. 22-41.

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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.
DOI : 10.1051/proc/201756022

Stéphane Crépey 1 ; Shiqi Song 1

1 LaMME, Univ Evry, CNRS, Université Paris-Saclay, 91037, Evry, France 
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Stéphane Crépey; Shiqi Song. Invariance Properties in the Dynamic Gaussian Copula Model. ESAIM. Proceedings, Tome 56 (2017), pp. 22-41. doi : 10.1051/proc/201756022. http://geodesic.mathdoc.fr/articles/10.1051/proc/201756022/

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