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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/10419/65338
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Giesecke, Kay | | en_US |
| dc.date.accessioned | | 2012-10-19T10:24:41Z | | - |
| dc.date.available | | 2012-10-19T10:24:41Z | | - |
| dc.date.issued | | 2002 | | en_US |
| dc.identifier.pi | | urn:nbn:de:kobv:11-10051468 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/65338 | | - |
| dc.description.abstract | | The 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.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 2002,47 | | 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 | | default compensator | | en_US |
| dc.title | | Compensator-based simulation of correlated defaults | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 72671691X | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:sfb373:200247 | | - |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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