performance of the underlying credits. In this paper we discuss the simulation of correlated unpredictable default arrival times … can be estimated from readily available equity and single-name credit derivatives market data. -- simulation ; correlated …

efficient simulation of dependent default times for pricing and risk management purposes is straightforward as well. Parameter … management solutions. -- simulation ; correlated defaults ; multivariate exponential model …

selection criteria. The small sample performance of the methods is compared in a simulation study. It is found that the …