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In this paper we present a new approach to incorporate default dependency in intensity-based default risk models. The model uses an arbitrary default dependency structure which is specified by the Copula of the times of default, this is combined with individual intensity-based models for the...
Persistent link: https://www.econbiz.de/10005841283
Unterschiedliche Kulturen, Religionen, Herrschaftssysteme, Ethnien, Ökonomien, Planungen und Projekte haben die Herausbildung von unterschiedlichen Stadtpersönlichkeiten in Europa begünstigt. Gesellschaftlicher Wandel hat die Städte fortwährend verändert und Spuren, Verwerfungen sowie...
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In this paper we present a new approach to incorporate dynamic default dependency in intensity-based default risk models. The model uses an arbitrary default dependency structure which is specified by the Copula of the times of default, this is combined with individual intensity-based models for...
Persistent link: https://www.econbiz.de/10012741447
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