Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/65333 
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dc.contributor.authorGiesecke, Kayen
dc.date.accessioned2012-10-19T10:24:35Z-
dc.date.available2012-10-19T10:24:35Z-
dc.date.issued2002-
dc.identifier.piurn:nbn:de:kobv:11-10049100en
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlinen
dc.relation.ispartofseries|aSFB 373 Discussion Paper |x2002,52en
dc.subject.jelG12en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordsimulationen
dc.subject.keywordcorrelated defaultsen
dc.subject.keywordmultivariate exponential modelen
dc.titleAn exponential model for dependent defaults-
dc.typeWorking Paperen
dc.identifier.ppn726806307en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb373:200252en

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