Gibson, Rajna; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich> - 2005
In this paper, we extend the earlier results of Jeanblanc and Valchev (2003) in the single name case to the case of multiple defaults of the issuers in a concentrated industry or homo- geneous bond market. We provide solutions for the pairwise default correlations and credit spreads in an...