Joint Default Probabilities: A Model with Time-varying and Correlated Sharpe Ratios and Volatilities
The probabilities of joint default among companies are one of the major concerns in credit risk management, mainly because it aects the distribution of loan portfolio losses and is therefore critical when allocating capital for solvency purposes. This paper proposes a multivariate model with time-va...
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| Format: | Others |
| Language: | English |
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Norges teknisk-naturvitenskapelige universitet, Institutt for samfunnsøkonomi
2012
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-17400 |