Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/65338
Autoren: 
Giesecke, Kay
Datum: 
2002
Schriftenreihe/Nr.: 
SFB 373 Discussion Paper No. 2002,47
Zusammenfassung: 
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.
Schlagwörter: 
simulation
correlated defaults
default compensator
JEL: 
G12
G13
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
197.33 kB





Publikationen in EconStor sind urheberrechtlich geschützt.