English, Article, Journal or magazine article edition: Factor Models for Portofolio Credit Risk Philipp J. Schönbucher

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Bookmark: http://trove.nla.gov.au/version/52693
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Factor Models for Portofolio Credit Risk
Author
  • Philipp J. Schönbucher
Physical Description
  • preprint
Notes
  • This paper gives a simple introduction to portfolio credit risk models of the factor model type. In factor models, the dependence between the individual defaults is driven by a small number of systematic factors. When conditioning on the realisation of these factors the defaults become independent. This allows to combine a large degree of analytical tractability in the model with a realistic dependency structure.
  • Default Risk, Portfolio Models
  • RePEc:bon:bonedp:bgse16_2001
Language
  • English
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