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Factor Models for Portofolio Credit Risk

  • Philipp J. Schönbucher

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.

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Length: 20
Date of creation: Dec 2000
Date of revision:
Handle: RePEc:bon:bonedp:bgse16_2001
Contact details of provider: Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany
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