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2002-04-30Buch DOI: 10.18452/3673
Compensator-Based Simulation of Correlated Defaults
dc.contributor.authorGiesecke, Kay
dc.date.accessioned2017-06-15T21:45:22Z
dc.date.available2017-06-15T21:45:22Z
dc.date.created2005-10-27
dc.date.issued2002-04-30
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4325
dc.description.abstractThe market for derivatives with payoffs contingent on the credit quality of a number of reference entities has grown considerably over recent years. The risk analysis and valuation of such multi-name structures often relies on simulating the performance of the underlying credits. In this paper we discuss the simulation of correlated unpredictable default arrival times. Our algorithm is based on the compensator of default. We construct this compensator explicitly in a multi-firm structural model with correlated defaults and imperfect asset and default threshold observation. It is shown how the model parameters can be estimated from readily available equity and single-name credit derivatives market data.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectsimulationeng
dc.subjectcorrelated defaultseng
dc.subjectdefault compensatoreng
dc.subject.ddc330 Wirtschaft
dc.titleCompensator-Based Simulation of Correlated Defaults
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10051468
dc.identifier.doihttp://dx.doi.org/10.18452/3673
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages22
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2002
local.edoc.container-issue47
local.edoc.container-year2002
local.edoc.container-erstkatid2135319-0

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