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Frey et al., 2004 - Google Patents

Portfolio credit risk models with interacting default intensities: a Markovian approach

Frey et al., 2004

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Document ID
17598487092343625695
Author
Frey R
Backhaus J
Publication year
Publication venue
Preprint, University of Leipzig

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Snippet

We consider reduced-form models for portfolio credit risk with interacting default intensities. In this class of models the impact of default of some firm on the default intensities of surviving firms is exogenously specified and the dependence structure of the default times is …
Continue reading at statmath.wu.ac.at (PDF) (other versions)

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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/02—Banking, e.g. interest calculation, credit approval, mortgages, home banking or on-line banking
    • G06Q40/025—Credit processing or loan processing, e.g. risk analysis for mortgages
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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