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A Conditioned Gaussian-Poisson Model For Default Phenomena, Tyler Brannan

LSU Doctoral Dissertations

We introduce a new model to study the behavior of a portfolio of defaultable assets. We refer to this model as the Gaussian-Poisson model. It builds upon one-factor Gaussian copula models and Poisson models (specifically Cox processes). Our model utilizes a random variable Y along with probability measures ℙ^• and ℙ^†. The measures ℙ^• and ℙ^† will act as market pricing measures and are obtained via conditioning. The random variable Y will act as a default descriptor.

We provide the distribution of Y under both ℙ^• and ℙ^†. We use a conditional …