A Comparative Analysis of Dependence Levels in Intensity-Based and Merton-Style Credit Risk Models View Full Text


Ontology type: schema:Chapter     


Chapter Info

DATE

2007

AUTHORS

Jean-David Fermanian , Mohammed Sbai

ABSTRACT

In finance, especially for credit portfolio modeling, basket credit derivatives (CDOs, n-th to default) pricing and hedging, the building of an accurate measure of the dependence between the underlying default events is becoming a key-challenge (see Crouhy, Galai and Mark, 2002; Koyluoglu and Hickman, 1998, for a review of the current credit risk portfolio models). This new frontier has induced a huge amount of literature for several years: Nyfeler (2000), Frey and McNeil (2001), Schönbucher and Schubert (2001), Das, Geng and Kapadia (2002), Elizalde (2003), Turnbull (2003), Yu (2003), among others. More... »

PAGES

132-155

Book

TITLE

Advances in Risk Management

ISBN

978-1-349-28543-3
978-0-230-62584-6

Identifiers

URI

http://scigraph.springernature.com/pub.10.1057/9780230625846_7

DOI

http://dx.doi.org/10.1057/9780230625846_7

DIMENSIONS

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