首页 | 本学科首页   官方微博 | 高级检索  
     检索      


An analysis of default correlations and multiple defaults
Authors:Zhou  C
Institution:Anderson, Graduate School of Management, University of California, Riverside, CA 92521, USA
E-mail: chunsheng.zhou@ucr.edu
Abstract:Evaluating default correlations or the probabilities of defaultby more than one firm is an important task in credit analysis,derivatives pricing, and risk management. However, default correlationscannot be measured directly, multiple-default modeling is technicallydifficult, and most existing credit models cannot be appliedto analyze multiple defaults. This article develops a first-passage-timemodel, providing an analytical formula for calculating defaultcorrelations that is easily implemented and conveniently usedfor a variety of financial applications. The model also providesa theoretical justification for several empirical regularitiesin the credit risk literature.
Keywords:
本文献已被 Oxford 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号