Dependence properties of dynamic credit risk models

Dependence Properties of Dynamic Credit Risk Models

We give a unified mathematical framework for reduced-form models for portfolio credit risk and identify properties which lead to positive dependence of default times. Dependence in the default hazard rates is modeled by common macroeconomic factors as well as by inter-obligor links. It is shown that popular models produce positive dependence between defaults in terms of association. Implication...

Dependence of Default Probability and Recovery Rate in Structural Credit Risk Models: Empirical Evidence from Greece

The main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. We examine the dependence between PD and RR by theoretical approach. For the empirically methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression. These methods allow to determinate...

Dynamic Interest Rate and Credit Risk Models

Dynamic Dependence in Corporate Credit∗

Characterizing the dependence in credit spreads and default intensities across companies is a central problem in credit risk. Existing practice typically relies on factor models or simple static Gaussian copula models. We instead use genuinely dynamic copula models which can capture univariate and multivariate non-normalities and asymmetries for large cross-sections of firms. Using weekly data ...

dependence of default probability and recovery rate in structural credit risk models: empirical evidence from greece

the main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. we examine the dependence between pd and rr by theoretical approach. for the empirically methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression. these methods allow to determinate...