Showing 1 - 7 of 7
We model aggregate credit losses on large portfolios of financial positions contracted with firms subject to both cyclical default correlation and direct default contagion processes. Cyclical correlation is due to the dependence of firms on common (macro-) economic factors; credit contagion...
Persistent link: https://www.econbiz.de/10010296447
We provide a framework for the analysis of term structures of credit spreads on corporate bonds in the presence of informational asymmetries. While bond investors observe default incidents, we suppose that they have incomplete information on the firm's assets and/or the threshold asset level at...
Persistent link: https://www.econbiz.de/10010310529
We propose a model of correlated multi-firm default with incomplete information. While public bond investors observe issuers' assets and defaults, we suppose that they are not informed about the threshold asset level at which a firm is liquidated. Bond investors form instead a prior on these...
Persistent link: https://www.econbiz.de/10010310538
A thorough understanding of the joint default behavior of credit-risky securities is essential for credit risk measurement as well as the valuation of multi-name credit derivatives and Collateralized Debt Obligations. In this paper we study a simple and tractable intensity-based model for...
Persistent link: https://www.econbiz.de/10010310555
Credit contagion refers to the propagation of economic distress from one firm or sovereign government to another. In this paper we model credit contagion phenomena and study the fluctuation of aggregate credit losses on large portfolios of financial positions. The joint dynamics of firms' credit...
Persistent link: https://www.econbiz.de/10010310558
The market for derivatives with payoffs contingent on the credit quality of a number of reference entities has grown considerably over recent years. The risk analysis and valuation of such multi-name structures often relies on simulating the performance of the underlying credits. In this paper...
Persistent link: https://www.econbiz.de/10010310560
Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities. We consider individual as well as correlated credit...
Persistent link: https://www.econbiz.de/10010310593