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.
- Language
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Englisch
- Bibliographic citation
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Series: Bonn Econ Discussion Papers ; No. 16/2001
- Classification
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Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
- Subject
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Default Risk
Portfolio Models
- Event
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Geistige Schöpfung
- (who)
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Schönbucher, Philipp J.
- Event
-
Veröffentlichung
- (who)
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University of Bonn, Bonn Graduate School of Economics (BGSE)
- (where)
-
Bonn
- (when)
-
2000
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Schönbucher, Philipp J.
- University of Bonn, Bonn Graduate School of Economics (BGSE)
Time of origin
- 2000
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