Arbeitspapier
Factor Models for Portofolio Credit Risk
This paper gives a simple introduction to portfolio credit risk models of the factor model type. In factor models, the dependence between the individual defaults is driven by a small number of systematic factors. When conditioning on the realisation of these factors the defaults become independent. This allows to combine a large degree of analytical tractability in the model with a realistic dependency structure.
- Sprache
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Englisch
- Erschienen in
-
Series: Bonn Econ Discussion Papers ; No. 16/2001
- Klassifikation
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
Default Risk
Portfolio Models
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schönbucher, Philipp J.
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Bonn, Bonn Graduate School of Economics (BGSE)
- (wo)
-
Bonn
- (wann)
-
2000
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Schönbucher, Philipp J.
- University of Bonn, Bonn Graduate School of Economics (BGSE)
Entstanden
- 2000
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