FREY, RÜDIGER; BACKHAUS, JOCHEN - In: International Journal of Theoretical and Applied … 11 (2008) 06, pp. 611-634
We consider reduced-form models for portfolio credit risk with interacting default intensities. In this class of models default intensities are modeled as functions of time and of the default state of the entire portfolio, so that phenomena such as default contagion or counterparty risk can be...