{"id":"https://openalex.org/W1986084828","doi":"https://doi.org/10.1137/130939791","title":"Density Approach in Modeling Successive Defaults","display_name":"Density Approach in Modeling Successive Defaults","publication_year":2015,"publication_date":"2015-01-01","ids":{"openalex":"https://openalex.org/W1986084828","doi":"https://doi.org/10.1137/130939791","mag":"1986084828"},"language":"en","primary_location":{"id":"doi:10.1137/130939791","is_oa":false,"landing_page_url":"https://doi.org/10.1137/130939791","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5112311167","display_name":"Nicole El Karoui","orcid":"https://orcid.org/0000-0002-0822-9198"},"institutions":[{"id":"https://openalex.org/I4210147464","display_name":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires","ror":"https://ror.org/04hjc7403","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I204730241","https://openalex.org/I39804081","https://openalex.org/I4210141950","https://openalex.org/I4210147464"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Nicole El Karoui","raw_affiliation_strings":["Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires","institution_ids":["https://openalex.org/I4210147464"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5081796771","display_name":"Monique Jeanblanc","orcid":null},"institutions":[{"id":"https://openalex.org/I4210147464","display_name":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires","ror":"https://ror.org/04hjc7403","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I204730241","https://openalex.org/I39804081","https://openalex.org/I4210141950","https://openalex.org/I4210147464"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Monique Jeanblanc","raw_affiliation_strings":["Laboratoire Analyse et Probabilit\u00e9s"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Laboratoire Analyse et Probabilit\u00e9s","institution_ids":["https://openalex.org/I4210147464"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5067411848","display_name":"Ying Jiao","orcid":"https://orcid.org/0000-0003-1673-9582"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Ying Jiao","raw_affiliation_strings":["Laboratoire de Sciences Actuarielle et Financi\u00e8re"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Laboratoire de Sciences Actuarielle et Financi\u00e8re","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":3.9648,"has_fulltext":false,"cited_by_count":20,"citation_normalized_percentile":{"value":0.93501534,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":97},"biblio":{"volume":"6","issue":"1","first_page":"1","last_page":"21"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9983999729156494,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9983999729156494,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9951000213623047,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9909999966621399,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/default","display_name":"Default","score":0.7859171628952026},{"id":"https://openalex.org/keywords/copula","display_name":"Copula (linguistics)","score":0.697822093963623},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5263611078262329},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4888157546520233},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4013362526893616},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.32681000232696533},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.29135897755622864}],"concepts":[{"id":"https://openalex.org/C69637215","wikidata":"https://www.wikidata.org/wiki/Q702362","display_name":"Default","level":2,"score":0.7859171628952026},{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.697822093963623},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5263611078262329},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4888157546520233},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4013362526893616},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.32681000232696533},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.29135897755622864},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/130939791","is_oa":false,"landing_page_url":"https://doi.org/10.1137/130939791","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":22,"referenced_works":["https://openalex.org/W157513211","https://openalex.org/W322473616","https://openalex.org/W1540689970","https://openalex.org/W2011279645","https://openalex.org/W2042400771","https://openalex.org/W2043190385","https://openalex.org/W2061979654","https://openalex.org/W2081806266","https://openalex.org/W2084716442","https://openalex.org/W2096306954","https://openalex.org/W2106572081","https://openalex.org/W2108790053","https://openalex.org/W2123479023","https://openalex.org/W2136805156","https://openalex.org/W2170680356","https://openalex.org/W2787147383","https://openalex.org/W3121146574","https://openalex.org/W3121623715","https://openalex.org/W3121895069","https://openalex.org/W3122799034","https://openalex.org/W3124160426","https://openalex.org/W3125272213"],"related_works":["https://openalex.org/W2377487415","https://openalex.org/W3126047263","https://openalex.org/W3088954151","https://openalex.org/W1821766307","https://openalex.org/W2183094535","https://openalex.org/W3099337062","https://openalex.org/W2804113700","https://openalex.org/W2026889774","https://openalex.org/W3125640788","https://openalex.org/W2006866322"],"abstract_inverted_index":{"We":[0],"apply":[1],"the":[2,23,30,35,39,58,66,79],"density":[3,37],"framework":[4],"developed":[5],"in":[6,62],"[N.":[7],"El":[8],"Karoui,":[9],"M.":[10],"Jeanblanc,":[11],"and":[12,54],"Y.":[13],"Jiao,":[14],"Stochastic":[15],"Process.":[16],"Appl.,":[17],"120":[18],"(2010),":[19],"pp.":[20],"1011--1032]":[21],"to":[22,45],"modeling":[24],"of":[25,32,34,38,68,81,83],"successive":[26,72],"multiple":[27],"defaults.":[28],"Under":[29],"hypothesis":[31],"existence":[33],"joint":[36],"ordered":[40],"default":[41,69,73],"times":[42],"with":[43,57],"respect":[44],"a":[46],"reference":[47],"filtration,":[48],"we":[49,64],"present":[50],"general":[51],"pricing":[52],"results":[53],"establish":[55],"links":[56],"classical":[59],"intensity":[60],"approach;":[61],"particular,":[63],"emphasize":[65],"impact":[67],"events":[70],"at":[71],"times.":[74],"Explicit":[75],"models,":[76],"constructed":[77],"using":[78],"methods":[80],"change":[82],"probability":[84],"measure":[85],"or":[86],"dynamic":[87],"copula,":[88],"are":[89],"proposed.":[90]},"counts_by_year":[{"year":2024,"cited_by_count":2},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":3},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":3},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":1}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}
