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A dynamic approach to the modeling of correlation credit derivatives using Markov chains
Di Graziano, Giuseppe; Rogers, Leonard C. G. - In: International journal of theoretical and applied finance 12 (2009) 1, pp. 45-62
Persistent link: https://www.econbiz.de/10003847557
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Optimal capital structure and endogenous default
Hilberink, Bianca; Rogers, Leonard C. G. - In: Finance and stochastics 6 (2002) 2, pp. 237-263
Persistent link: https://www.econbiz.de/10001662473
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A Dynamic Approach to the Modeling of Correlation Credit Derivatives Using Markov Chains
Rogers, L. C. G. - 2010
The modeling of credit events is in effect the modeling of the times to default of various names. The distribution of individual times to default can be calibrated from CDS quotes, but for more complicated instruments, such as CDOs, the joint law is needed. Industry practice is to model this...
Persistent link: https://www.econbiz.de/10013150072