This paper gives a simple introduction to portfolio credit risk models of the factor model type. In factor models, the dependence between the individual defaults is driven by a small number of systematic factors. When conditioning on the realisation of these factors the defaults become independent. This allows to combine a large degree of analytical tractability in the model with a realistic dependency structure.
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Paper provided by University of Bonn, Germany in its series Bonn Econ Discussion Papers with number
bgse16_2001.
Length: 20 Date of creation: Dec 2000 Date of revision: Handle: RePEc:bon:bonedp:bgse16_2001
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