On the Probabilities of Correlated Defaults: a First Passage Time Approach
This article investigates the joint probability of correlated defaults in the first passage time approach of credit risk subject to condition that the underlying firms’ assets values and the default boundaries follow geometric Brownian motion processes. The exact analytical expression of joint prob...
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2008-01-01
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| Series: | Nonlinear Analysis |
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| Online Access: | http://www.journals.vu.lt/nonlinear-analysis/article/view/14593 |