Aboura, Sofiane; Wagner, Niklas - Université Paris-Dauphine (Paris IX) - 2008
Dependence is an important issue in credit risk portfolio modeling and pricing. We discuss a straightforward common … factor model of credit risk dependence, which is motivated by intensity models such as Duffie and Singleton (1998), among … others. In the empirical analysis, we study dependence under the risk-neutral measure using credit default swap (CDS) spread …