Credit risk: Maximum likelihood estimate of default correlations - Estimating asset correlations is difficult. The authors present a tractable version of the multi-factor Merton model in which firms are sorted into homogeneous risk classes.
| Year of publication: |
2004
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|---|---|
| Authors: | Demey, Paul ; Jouanin, Jean-Frédéric ; Roget, Céline ; Roncalli, Thierry |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 17.2004, 11, p. 104-109
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