SIDENIUS, JAKOB; PITERBARG, VLADIMIR; ANDERSEN, LEIF - In: International Journal of Theoretical and Applied … 11 (2008) 02, pp. 163-197
We present the SPA framework, a novel approach to the modeling of the dynamics of portfolio default losses. In this framework, models are specified by a two-layer process. The first layer models the dynamics of portfolio loss distributions in the absence of information about default times. This...