Factor Models for Portfolio Credit Risk

This paper gives a simple introduction to portfolio credit risk models of the factor model type. In factor models, the dependence between the individual defaults is driven by a small number of systematic factors. When conditioning on the realisation of these factors the defaults become independent. This allows to combine a large degree of analytical tractability in the model with a realistic dependency structure.

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Year of publication:	2000-12-01
Authors:	Schönbucher, Philipp J.
Institutions:	Institut für Gesellschafts- und Wirtschaftswissenschaften <Bonn> / Statistische Abteilung
Subject:	Statistik \| Ausfallrisiko \| Wirtschaftsstatistik \| Economic statistics \| Portfolio Selection

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Extent:	141312 bytes 20 p. application/pdf
Type of publication:	Book / Working Paper
Language:	English
Classification:	G13 - Contingent Pricing; Futures Pricing ; Corporate finance and investment policy. Other aspects ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005841285