Bäuerle, Nicole; Schmock, Uwe - In: Statistics & Risk Modeling 29 (2012) 3, pp. 243-268
Abstract We give a unified mathematical framework for reduced-form models for portfolio credit risk and identify properties which lead to positive dependence of default times. Dependence in the default hazard rates is modeled by common macroeconomic factors as well as by inter-obligor links. It...