Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/65338
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dc.contributor.authorGiesecke, Kayen_US
dc.date.accessioned2012-10-19T10:24:41Z-
dc.date.available2012-10-19T10:24:41Z-
dc.date.issued2002en_US
dc.identifier.piurn:nbn:de:kobv:11-10051468en_US
dc.identifier.urihttp://hdl.handle.net/10419/65338-
dc.description.abstractThe market for derivatives with payoffs contingent on the credit quality of a number of reference entities has grown considerably over recent years. The risk analysis and valuation of such multi-name structures often relies on simulating the performance of the underlying credits. In this paper we discuss the simulation of correlated unpredictable default arrival times. Our algorithm is based on the compensator of default. We construct this compensator explicitly in a multi-firm structural model with correlated defaults and imperfect asset and default threshold observation. It is shown how the model parameters can be estimated from readily available equity and single-name credit derivatives market data.en_US
dc.language.isoengen_US
dc.publisher|aHumboldt-Universität |cBerlinen_US
dc.relation.ispartofseries|aDiscussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |x2002,47en_US
dc.subject.jelG12en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordsimulationen_US
dc.subject.keywordcorrelated defaultsen_US
dc.subject.keyworddefault compensatoren_US
dc.titleCompensator-based simulation of correlated defaultsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn72671691Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:sfb373:200247-

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