Quotation Frey, Rüdiger, McNeil, Alexander. 2002. Modelling Dependent Defaults. World congress of the Bachelier Finance Society (FBS02), Kreta, Griechenland, 06.02.


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Abstract

The talk is concerned with the modelling of dependence between defaults in current models for credit portfolio management. We clarify the mathematical structure of the existing industry models and provide links between them. We study the model risk due to an inappropriate modelling of the dependence between defaults inherent in various modelling approaches. Finally we discuss the calibration of several models to default data.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Paper presented at an academic conference or symposium
Language English
Title Modelling Dependent Defaults
Event World congress of the Bachelier Finance Society (FBS02)
Year 2002
Date 06.02
Country Greece
Location Kreta

Associations

People
Frey, Rüdiger (Details)
External
McNeil, Alexander
Organization
Institute for Statistics and Mathematics IN (Details)
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