Factor Models: Portfolio Credit Risks When Defaults are Correlated

Emerald - 2001
PHILIPP J.SCHÖNBUCHER1
1Assistant professor at Bonn University in Germany

Tóm tắt

This article discusses factor models for portfolio credit. In these models, correlations between individual defaults are driven by a few systematic factors. By conditioning on these factors, defaults observed within are independent. This allows a greater degree of analytical tractability in the model with a realistic dependency structure.

Từ khóa


Tài liệu tham khảo

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