• 1 Introduction
  • 2 Formulation of the problem
  • 3 The Hull and White approach revisited
  • 4 Time changed Wiener process
  • 4.1 Calibrating the term structure of defaults
  • 4.2 Calibrating joint default probabilities
  • 4.3 Calibration Examples
  • 4.4 Implementation
  • 5 Application example
  • 6 Conclusions