|
EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/65333
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Giesecke, Kay | | en_US |
| dc.date.accessioned | | 2012-10-19T10:24:35Z | | - |
| dc.date.available | | 2012-10-19T10:24:35Z | | - |
| dc.date.issued | | 2002 | | en_US |
| dc.identifier.pi | | urn:nbn:de:kobv:11-10049100 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/65333 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Humboldt-Universität Berlin | | en_US |
| dc.relation.ispartofseries | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,52 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.jel | | G13 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | simulation | | en_US |
| dc.subject.keyword | | correlated defaults | | en_US |
| dc.subject.keyword | | multivariate exponential model | | en_US |
| dc.title | | An exponential model for dependent defaults | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 726806307 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:sfb373:200252 | | - |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|