Dependent Stopping Times and Application to Credit Risk Theory - BQE Lecture Series

Explore a comprehensive lecture on dependent stopping times and their application to credit risk theory, presented by Alejandra Quintos Lima, a Ph.D. candidate in Statistics from Columbia University. Delve into key concepts such as stopping times, compensators, Cox construction, and instantaneous default. Examine the interpretation of joint distributions and the generalization to K stopping times. Discover how these concepts apply to credit risk, including measures of systemic risk, constant default intensities, and catastrophic market failure. Learn about the impact of changing economic states and bank balance sheets on credit risk models. This 59-minute talk, part of the Brooklyn Quant Experience Lecture Series at New York University, offers valuable insights for those interested in advanced statistical methods and their practical applications in finance.

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