BANERJEE, TAMAL; GHOSH, MRINAL K.; IYER, SRIKANTH K. - In: International Journal of Theoretical and Applied … 16 (2013) 04, pp. 1350018-1
Numerous incidents in the financial world have exposed the need for the design and analysis of models for correlated default timings. Some models have been studied in this regard which can capture the feedback in case of a major credit event. We extend the research in the same direction by...