Factor Models for Portofolio Credit Risk

This paper gives a simple introduction to portfolio credit risk models of the factor model type. In factor models, the dependence between the individual defaults is driven by a small number of systematic factors. When conditioning on the realisation of these factors the defaults become independent. This allows to combine a large degree of analytical tractability in the model with a realistic dependency structure.

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Year of publication:	2000
Authors:	Schönbucher, Philipp J.
Publisher:	Bonn : University of Bonn, Bonn Graduate School of Economics (BGSE)
Subject:	Default Risk \| Portfolio Models

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Series:	Bonn Econ Discussion Papers ; 16/2001
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	869533010 [GVK] hdl:10419/78427 [Handle] RePEc:zbw:bonedp:162001 [RePEc]
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10010317684