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Persistent link: https://www.econbiz.de/10012194914
We propose a novel credit default model that takes into account the impact of macroeconomic information and contagion effect on the defaults of obligors. We use a set-valued Markov chain to model the default process, which is the set of all defaulted obligors in the group. We obtain analytic...
Persistent link: https://www.econbiz.de/10012898308