A self-exciting model for defaults is one where
A) There are non-random exogenous changes in the rate at which defaults arrive.
B) The volatility of the intensity increases with the level of losses.
C) The rate at which defaults arrive increases with the level of losses.
D) Excitement from defaults is spontaneous!

Question

A self-exciting model for defaults is one where 
A) There are non-random exogenous changes in the rate at which defaults arrive.
B) The volatility of the intensity increases with the level of losses.
C) The rate at which defaults arrive increases with the level of losses.
D) Excitement from defaults is spontaneous!

Quizplus · Accepted Answer

A self-exciting model for defaults is one where the rate at which defaults arrive increases with the level of losses. This means that default events can trigger subsequent default events, leading to a self-reinforcing cycle. The other options do not accurately describe a self-exciting model for defaults.

A Self-Exciting Model for Defaults Is One Where