Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/65338 
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dc.contributor.authorGiesecke, Kayen
dc.date.accessioned2012-10-19T10:24:41Z-
dc.date.available2012-10-19T10:24:41Z-
dc.date.issued2002-
dc.identifier.piurn:nbn:de:kobv:11-10051468en
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
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 |x2002,47en
dc.subject.jelG12en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordsimulationen
dc.subject.keywordcorrelated defaultsen
dc.subject.keyworddefault compensatoren
dc.titleCompensator-based simulation of correlated defaults-
dc.typeWorking Paperen
dc.identifier.ppn72671691Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb373:200247en

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