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|Title:||Modeling default dependence with threshold models |
Schmidt, Wolfgang M.
|Issue Date:||2003 |
|Series/Report no.:||Arbeitsberichte der Hochschule für Bankwirtschaft 41|
|Abstract:||We investigate the problem of modeling defaults of dependent credits. In the framework of the class of structural default models we study threshold models where for each credit the underling ability-to-pay process is a transformation of a Wiener processes. We propose a model for dependent defaults based on correlated Wiener processes whose time scales are suitably transformed in order to calibrate the model to given marginal default distributions for each underlying credit. At the same time the model allows for a straightforward analytic calibration to dependency information in the form of joint default probabilities.|
structural form models
|Persistent Identifier of the first edition:||urn:nbn:de:101:1-2008071857|
|Document Type:||Working Paper|
|Appears in Collections:||Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management|
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