Density approach in modelling multi-defaults
نویسندگان
چکیده
We apply the default density framework developed in El Karoui et al. [8] to modelling of multiple defaults, which can be adapted to both top-down and bottom-up models. We present general pricing results and establish links with the classical intensity approach. Explicit models are also proposed by using the methods of change of probability measure or dynamic copula.
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تاریخ انتشار 2013