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- W3149057509 abstract "Delayed, hence non-simultaneous, dependent defaults are discussed in a reduced form model. The model is a generalization of a multi-factor model based on simultaneous defaults to incorporate delayed defaults. It provides a natural smoothening of discontinuities in the joint probability densities in models with simultaneous defaults. It is a dynamic model that exhibits default contagion in a multi-factor setting. It admits an efficient Monte Carlo simulation algorithm that can handle heterogeneous collections of credit names. It can be calibrated to provide exact fits to CDX.NA.IG and iTraxx Europe CDOs just as its version with simultaneous defaults." @default.
- W3149057509 created "2021-04-13" @default.
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- W3149057509 date "2007-01-01" @default.
- W3149057509 modified "2023-09-24" @default.
- W3149057509 title "Delayed Default Dependency and Default Contagion" @default.
- W3149057509 hasPublicationYear "2007" @default.
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