An improved approach to evaluate default probabilities and default correlations with consistency
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Publication:2816962
DOI10.1142/S0219024916500369zbMATH Open1396.91790MaRDI QIDQ2816962FDOQ2816962
Authors: Weiping Li, Tim Krehbiel 
Publication date: 26 August 2016
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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consistencyrisk managementdefault correlationKolmogorov forward equationprobability of defaultcredit analysisfirst-passage-time model
Cites Work
- Credit risk: Modelling, valuation and hedging
- First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes
- CreditRisk\(^+\) in the banking industry.
- First passage time for multivariate jump-diffusion processes in finance and other areas of applications
- Title not available (Why is that?)
Cited In (9)
- Importance sampling estimation of joint default probability under structural-form models with stochastic correlation
- Correlated defaults, temporal correlation, expert information and predictability of default rates
- CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
- Estimating asset correlations from stock prices or default rates -- which method is superior?
- On the probabilities of correlated defaults: a first passage time approach
- Probabilistic Overview of Probabilities of Default for Low Default Portfolios by K. Pluto and D. Tasche
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- Moody's correlated binomial default distributions for inhomogeneous portfolios
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