We review recent progress in modeling credit risk for correlated assets. We start from the Merton model which default events and losses are derived from the asset values at maturity. To estimate the time development of the asset values, the stock prices are used whose correlations have a strong...

We review recent progress in modeling credit risk for correlated assets. We employ a new interpretation of the Wishart model for random correlation matrices to model non-stationary effects. We then use the Merton model in which default events and losses are derived from the asset values at...