This paper incorporates state dependent correlations (those that vary systematically with the
state of the economy) into the Vasicek default model. Other approaches to randomizing …

Risk-weight function is the most popular formula for banking regulations used to calculate
the amount of backup deposit that banks need to hold in order to bear extraordinary losses …

In the quantitative analysis of the credit risk of a portfolio of bonds and loans, one industry
approach imposes pairwise correlation directly on the defaults of the debt instruments in …

We revive, discuss, and improve upon the excellent earlier work of Hull and White in
efficiently building iterative loss distributions for debt portfolios of structured finance …