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• W2109653604 abstract "This article provides a new approach to modeling dependent defaults in a portfolio. Our top-down approach involves modeling the defaults of a set of firms and then allocating the aggregate default risk in each set to the individual firms in the set. The major advantage of our approach is that we can easily incorporate economic factors that lead to high correlations in default intensities. Once we obtain a measure of default risk for a set of firms we apply a process called random thinning to characterize the default intensity of a single firm that is a member of the set. Each firm is assigned a portion of its set9s default risk based on firm characteristics such as leverage, asset volatility, and asset correlation. This allows both pricing of portfolios and single name credits with the ease of a reduced form model and the economic motivation of a structural model. Furthermore, we do comparative static exercises to show how the model behaves and we conduct simulations to compare it to the reduced form and structural models9 predictions of single and multi-name credit derivative prices. <b>TOPICS:</b>Accounting and ratio analysis, credit default swaps, simulations" @default.
• W2109653604 created "2016-06-24" @default.
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• W2109653604 date "2008-06-30" @default.
• W2109653604 modified "2023-09-26" @default.
• W2109653604 title "Modeling Simultaneous Defaults" @default.
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• W2109653604 doi "https://doi.org/10.3905/jfi.2008.708841" @default.
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