Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/78427
Authors: 
Schönbucher, Philipp J.
Year of Publication: 
2000
Series/Report no.: 
Bonn Econ Discussion Papers 16/2001
Abstract: 
This paper gives a simple introduction to portfolio credit risk models of the factor model type. In factor models, the dependence between the individual defaults is driven by a small number of systematic factors. When conditioning on the realisation of these factors the defaults become independent. This allows to combine a large degree of analytical tractability in the model with a realistic dependency structure.
Subjects: 
Default Risk
Portfolio Models
JEL: 
G13
Document Type: 
Working Paper

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