Default correlations in the Merton model

DOI10.1093/ROF/RFT030MaRDI QIDQ4554704zbMATH OpenOpenAlexFDO

Authors Ulrich Erlenmaier, Hans Gersbach

Publication date 9 November 2018

Published in Review of Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1093/rof/rft030

zbMATH Keywords

default probabilitiesMerton modelloan pricingdefault correlationsadverse macroeconomic shockscredit portfolio risk

Mathematics Subject Classification ID

Credit risk (91G40)

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Cited in

(11)

• State dependent correlations in the Vasicek default model
• The determinants of default correlations
• Measuring default risk for a portfolio of equities
• Entropy measure of credit risk in highly correlated markets
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• Capturing the Correlations of Fixed-income Instruments
• From equity to default correlation with taxes
• Estimating asset correlations from stock prices or default rates -- which method is superior?
• On the probabilities of correlated defaults: a first passage time approach
• Asymptotic behaviour of multivariate default probabilities and default correlations under stress
• Moody's correlated binomial default distributions for inhomogeneous portfolios

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