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DOI: 10.5445/IR/1000032856
DOI: 10.1524/strm.2012.1101
Zitationen: 1

Dependence properties of dynamic credit risk models

Bäuerle, Nicole; Schmock, U.

We give a unified mathematical framework for reduced-form models
for portfolio credit risk and identify properties which lead to positive dependence of default times. Dependence in the default hazard rates is modeled by common macroeconomic factors as well as by inter-obligor links. It is shown that popular models produce positive dependence between defaults in terms of association. Implications of these results are discussed, in particular when we turn to pricing of credit derivatives. In mathematical terms our paper contains
results about association of a class of non-Markovian processes.

Zugehörige Institution(en) am KIT Institut für Stochastik (STOCH)
Publikationstyp Zeitschriftenaufsatz
Jahr 2012
Sprache Englisch
Identifikator ISSN: 0721-2631, 2193-1402, 2196-7040
URN: urn:nbn:de:swb:90-328569
KITopen ID: 1000032856
Erschienen in Statistics & risk modeling
Band 29
Seiten 243-269
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