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dc.contributor.authorGiesecke, Kayen_US
dc.date.accessioned2012-10-19T10:24:35Z-
dc.date.available2012-10-19T10:24:35Z-
dc.date.issued2002en_US
dc.identifier.piurn:nbn:de:kobv:11-10049100en_US
dc.identifier.urihttp://hdl.handle.net/10419/65333-
dc.description.abstractA 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.isoengen_US
dc.publisherHumboldt-Universität Berlinen_US
dc.relation.ispartofseriesDiscussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,52en_US
dc.subject.jelG12en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordsimulationen_US
dc.subject.keywordcorrelated defaultsen_US
dc.subject.keywordmultivariate exponential modelen_US
dc.titleAn exponential model for dependent defaultsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn726806307en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:sfb373:200252-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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