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Dokumenttyp:
Buchbeitrag 
Autor(en):
Kiesel, R.; Scherer, M. 
Kooperation:
national 
Titel:
Structural default risk models 
Abstract:
Structural-default models rely on the appealing interpretation of corporate default as a consequence of insufficient asset values to cover contractual obligations of the corporate. Multivariate extensions typically assume correlated firm-value processes to introduce dependence between individual default events. On a theoretical level, the resulting default correlation and portfolio-loss distribution depend on the choice of the (multivariate) asset-value process and the definition of the default...    »
 
Seitenangaben Beitrag:
Stichworte:
structural-default model; Vasicek's portfolio model; CDO pricing; default correlation; Basel II 
Buchtitel:
Encyclopedia of Quantitative Finance 
Intellectual Contribution:
Learning and Pedagogical Research 
Verlag / Institution:
John Wiley & Sons 
Jahr:
2010 
Reviewed:
ja 
Sprache:
en 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Format:
Text 
CC-Lizenz:
by, http://creativecommons.org/licenses/by/4.0 
Key publication:
Nein 
Peer reviewed:
ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Kategorie:
textbook