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Correlated Default Processes: A Criterion-Based Copula Approach
Company: Journal of INvestment Management
Company Url: Click here to open
Year Of Publication: 2004
Month Of Publication: January
Resource Link: Click here to open
Pages: 44-70
Download Count: 0
View Count: 1733
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 10-17-2010
Publisher: Administrator
Summary
Modeling correlated default risk is a new phenomenon currently sweeping through the credit markets. In this paper, we develop a methodology to model, simulate and assess the joint default process of hundreds of issuers. Our study is based on a data set of default probabilities supplied by Moody's Risk Management Services. We undertake an empirical examination of the joint stochastic process of default risk over the period of 1987-2000 using copula functions. To determine the appropriate choice of the joint default process, we propose a new metric. This metric accounts for different aspects of default correction, namely (i) level, (ii) asymmetry and (iii) tail-dependence and extreme behavior.
(volume 2, number 2)
Author(s)
Das, Sanjiv R. Sign in to follow this author
Geng, Gary Sign in to follow this author
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