Liang, Xue; Wang, Guojing; Dong, Yinghui - In: Statistics & Probability Letters 83 (2013) 1, pp. 373-381
The class of reduced form models is a very important class of credit risk models, and the modeling of the default dependence structure is essential in the reduced form models. This paper proposes a thinning-dependent structure model in the reduced form framework. The intensity process is the...