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  • Search: subject:"Delayed Default"
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CDO 1 Default Contagion 1 Default Correlation 1 Default Risk 1 Delayed Default 1 Monte Carlo 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
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Balakrishna, B S 1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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Delayed Default Dependency and Default Contagion
Balakrishna, B S - Volkswirtschaftliche Fakultät, … - 2007
Delayed, hence non-simultaneous, dependent defaults are discussed in a reduced form model. The model is a generalization of a multi-factor model based on simultaneous defaults to incorporate delayed defaults. It provides a natural smoothening of discontinuities in the joint probability densities...
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