Mori, S.; Kitsukawa, K.; Hisakado, M. - In: Quantitative Finance 11 (2010) 3, pp. 391-405
This paper generalizes Moody's correlated binomial default distribution for homogeneous (exchangeable) credit portfolios, which was introduced by Witt, to the case of inhomogeneous portfolios. We consider two cases of inhomogeneous portfolios. In the first case, we treat a portfolio whose assets...