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