Modeling correlated defaults: first passage model under stochastic volatility
نویسندگان
چکیده
منابع مشابه
Modeling Correlated Defaults: First Passage Model under Stochastic Volatility∗
Default dependency structure is crucial in pricing multi-name credit derivatives as well as in credit risk management. In this paper, we extend the first passage model for one name with stochastic volatility (Fouque-Sircar-Sølna, Applied Mathematical Finance 2006) to the multi-name case. Correlation of defaults is generated by correlation between the Brownian motions driving the individual name...
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ژورنال
عنوان ژورنال: The Journal of Computational Finance
سال: 2008
ISSN: 1460-1559
DOI: 10.21314/jcf.2008.192