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dc.contributor.authorGiesecke, Kayen_US
dc.date.accessioned2012-10-19T10:24:14Z-
dc.date.available2012-10-19T10:24:14Z-
dc.date.issued2001en_US
dc.identifier.piurn:nbn:de:kobv:11-10048887en_US
dc.identifier.urihttp://hdl.handle.net/10419/65316-
dc.description.abstractWe propose a model of correlated multi-firm default with incomplete information. While public bond investors observe issuers' assets and defaults, we suppose that they are not informed about the threshold asset level at which a firm is liquidated. Bond investors form instead a prior on these thresholds. Stochastic dependence between default events is induced through correlated asset values and correlated default thresholds. The former results from dependence of firms on common macroeconomic factors, while the latter corresponds to direct inter-firm linkages. Having addressed this issuer interdependence, the predictions of our model are consistent with empirically well documented facts, in particular the clustering of defaults. We characterize joint conditional default probabilities as assessed by the imperfectly informed secondary market. The representation of dependence via (conditional) copulas is emphasized. We propose the default time copula as a consistent default correlation measure, which overcomes the limitations of existing covariance based measures. A case study is examined, where issuers' assets follow geometric Brownian motions and bond investors' threshold prior is uniform.en_US
dc.language.isoengen_US
dc.publisherHumboldt-Universität Berlinen_US
dc.relation.ispartofseriesDiscussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,30en_US
dc.subject.jelG12en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordincomplete informationen_US
dc.subject.keywordcorrelated defaultsen_US
dc.subject.keyworddefault clusteringen_US
dc.subject.keywordjoint default distributionen_US
dc.subject.keywordcopulasen_US
dc.titleCorrelated default with incomplete informationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn726382035en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:sfb373:200230-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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