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Successive Correlated Defaults: Pricing Trends and Simulation

Author

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  • Kay Giesecke

Abstract

No abstract is available for this item.

Suggested Citation

  • Kay Giesecke, 2003. "Successive Correlated Defaults: Pricing Trends and Simulation," Computing in Economics and Finance 2003 247, Society for Computational Economics.
    • Handle: RePEc:sce:scecf3:247
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    Citations

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    Cited by:

    1. International Association of Deposit Insurers, 2011. "Evaluation of Deposit Insurance Fund Sufficiency on the Basis of Risk Analysis," IADI Research Papers 11-11, International Association of Deposit Insurers.
    2. Lin, Mucai & Hong, Zhiwu & Su, Ge, 2024. "Transmission of liquidity and credit risks in the Chinese bond market: Analysis based on joint modeling of multiple yield curves," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 597-615.
    3. Howard Qi & Yan Alice Xie & Sheen Liu, 2010. "Credit Risk Models: An Analysis Of Default Correlation," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(1), pages 37-49.

    More about this item

    Keywords

    compensator; intensity; correlated defaults;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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