Default Probabilities and Default Correlations
نویسندگان
چکیده
منابع مشابه
Default probabilities and default correlations under stress
We investigate default probabilities and default correlations of Merton-type credit portfolio models in stress scenarios where a common risk factor is truncated. The analysis is performed in the class of elliptical distributions, a family of light-tailed to heavy-tailed distributions encompassing many distributions commonly found in financial modelling. It turns out that the asymptotic limit of...
متن کاملAsymptotic behaviour of multivariate default probabilities and default correlations under stress
We investigate default probabilities and default correlations of Merton-type credit portfolio models in stress scenarios where a common risk factor is truncated. For elliptically distributed asset variables, the asymptotic limits of default probabilities and default correlations depend on the max-domain of attraction of the asset variables. In the regularly varying case, we derive an integral r...
متن کاملDefault reasoning about probabilities
Acknowledgments First and foremost I would like to thank Harald Ganzinger and Hans J urgen Ohlbach who provided me with the opportunity to conduct this research at the Max-Planck-Institute for Computer Science. Here I found a perfect environment that gave me all the freedom I wanted and every support I needed. Hans J urgen put me on the track of probabilistic reasoning in terminological logics....
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We conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD), using several analytical approaches from large-sample theory and bootstrapped small-sample confidence intervals. We do so for two different PD estimation methods—cohort and duration (intensity)—using twenty-two years of credit ratings data. We find that the bootstrapped intervals for the d...
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In this paper, we develop a generalized affine model to characterize correlated credit risk of multi-firms. When valuing credit derivatives, this new approach allows to incorporate correlative market and credit risk, interdependent default risk structure and counterparty risk into consideration. We have demonstrated our affine model not only combines the existing structural models and intensity...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2001
ISSN: 1556-5068
DOI: 10.2139/ssrn.258431