User: Guest  Login
Document type:
Buchbeitrag 
Author(s):
Kiesel, R.; Scherer, M. 
Cooperation:
national 
Title:
Structural default risk models 
Pages contribution:
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...    »
 
Keywords:
structural-default model; Vasicek's portfolio model; CDO pricing; default correlation; Basel II 
Book title:
Encyclopedia of Quantitative Finance 
Intellectual Contribution:
Learning and Pedagogical Research 
Publisher:
John Wiley & Sons 
Year:
2010 
Reviewed:
ja 
Language:
en 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
CC license:
by, http://creativecommons.org/licenses/by/4.0 
Key publication:
Nein 
Peer reviewed:
ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Category:
textbook