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Titel:

Structural default risk models

Dokumenttyp:
Buchbeitrag
Autor(en):
Kiesel, R.; Scherer, M.
Kooperation:
national
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
 BibTeX