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Modellbildung und Modelle |
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Mathematische Behandlung |
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Math&Industry ist gefördert vom
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Jochen Backhaus
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Rüdiger Frey
| Erstveröffentlichung im: Juli 2003 |
Die neueste Version ist vom: September 2004 |
Kurzfassung:
We consider reduced-form models for portfolio credit risk with interacting default
intensities. In this class of models the impact of default of some firm on the default
intensities of surviving firms is exogenously specified and the dependence structure
of the default times is endogenously determined. We construct and study the model
using Markov process techniques. We analyze in detail a model where the interaction
between firms is of the mean-field type. Moreover, we discuss the pricing of portfolio
related credit products such as basket default swaps and CDOs in our model.
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