Modelling of Successive Default Events
نویسندگان
چکیده
1 In the credit risk analysis, the dependence of default times is one of most important issues, for the portfolio credit derivatives as basket default swaps and CDOs, and also for the contagious credit risks. In the literature, the modelling of multi credit names is diversified in various directions such as Markov models ([3, 4]), contagion models ([10]), latent variable models ([8]) and loss process models ([5], [9], [11]), etc.
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Successive Correlated Defaults in a Structural Model
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