An improved approach to evaluate default probabilities and default correlations with consistency

DOI10.1142/S0219024916500369MaRDI QIDQ2816962zbMATH OpenFDO

Authors Weiping Li, Tim Krehbiel

Publication date 26 August 2016

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

consistencyrisk managementdefault correlationKolmogorov forward equationprobability of defaultcredit analysisfirst-passage-time model

Mathematics Subject Classification ID

Credit risk (91G40)

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Cites work

• scientific article; zbMATH DE number 2151378 (Why is no real title available?)
• Credit risk: Modelling, valuation and hedging
• CreditRisk\(^+\) in the banking industry.
• First passage time for multivariate jump-diffusion processes in finance and other areas of applications
• First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes

Cited in

(9)

• Probabilistic Overview of Probabilities of Default for Low Default Portfolios by K. Pluto and D. Tasche
• scientific article; zbMATH DE number 5198305 (Why is no real title available?)
• Correlated defaults, temporal correlation, expert information and predictability of default rates
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• Importance sampling estimation of joint default probability under structural-form models with stochastic correlation
• Estimating asset correlations from stock prices or default rates -- which method is superior?
• On the probabilities of correlated defaults: a first passage time approach
• scientific article; zbMATH DE number 5280213 (Why is no real title available?)
• Moody's correlated binomial default distributions for inhomogeneous portfolios

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