Dependence Modelling, Model Risk and Model Calibration in Models of Portfolio Credit Risk
نویسندگان
چکیده
We consider mathematical models for portfolio credit risk. We analyze the mathematical structure and in particular the modelling of dependence between default events in these models and propose extensions of standard industry models. We study the model risk related to the choice of model structure and input parameters. Finally we develop and test several approaches to model calibration in credit risk models. J.E.L. Subject Classification: G31, G11, C15
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