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Title:An exponential model for dependent defaults PDF Logo
Authors:Giesecke, Kay
Issue Date:2002
Series/Report no.:Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,52
Abstract:A thorough understanding of the joint default behavior of credit-risky securities is essential for credit risk measurement as well as the valuation of multi-name credit derivatives and Collateralized Debt Obligations. In this paper we study a simple and tractable intensity-based model for correlated defaults, in which unpredictable default arrival times are jointly exponentially distributed. Since all critical results are given in closedform, the model can be easily mplemented. The efficient simulation of dependent default times for pricing and risk management purposes is straightforward as well. Parameter calibration relies on readily available market data as well as data and figures provided by rating agencies and credit risk management solutions.
Subjects:simulation
correlated defaults
multivariate exponential model
JEL:G12
G13
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10049100
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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