Default correlations in the Merton model (Q4554704)
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scientific article; zbMATH DE number 6975862
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| English | Default correlations in the Merton model |
scientific article; zbMATH DE number 6975862 |
Statements
Default Correlations in the Merton Model* (English)
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9 November 2018
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default probabilities
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default correlations
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Merton model
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credit portfolio risk
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loan pricing
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adverse macroeconomic shocks
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0.8067220449447632
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0.7915149331092834
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0.7818184494972229
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0.7798435091972351
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0.7732595205307007
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