A credit investor such as a bank granting loans to firms or an asset manager buying corporate bonds is exposed to correlated corporate default risk. A multi-name credit derivative is a financial security that allows the investor to transfer this risk to the credit market. In this article, we...

In the top-down approach to multi-name credit modeling, calculation of singe name sensitivities appears possible, at least in principle, within the so-called random thinning (RT) procedure which dissects the portfolio risk into individual contributions. We make an attempt to construct a...