Multiple Defaults and Merton's Model

Multiple defaults and default correlation are crucial imputs in risk management, credit derivatives, and credit analysis. An extension of the structural framework to accommodate multiple defaults provides a simple and unified framework for calculating single and joint default probabilities in closed...

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Bibliographic Details
Published inThe Journal of fixed income Vol. 14; no. 1; p. 60
Main Authors Cathcart, Lara, El-Jahel, Lina
Format Journal Article
LanguageEnglish
Published London Pageant Media 30.06.2004
Subjects
Correlation analysis
Default
Derivatives
Equity
Financial analysis
Mathematical models
Normal distribution
Probability
Random variables
Risk assessment
Studies
Volatility
United States > US
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Summary:Multiple defaults and default correlation are crucial imputs in risk management, credit derivatives, and credit analysis. An extension of the structural framework to accommodate multiple defaults provides a simple and unified framework for calculating single and joint default probabilities in closed form for more than two firms. The results are useful in various financial applications. [PUBLICATION ABSTRACT]
ISSN:1059-8596
2168-8648
DOI:10.3905/jfi.2004.419577