State dependent correlations in the Vasicek default model
A Metzler - Dependence Modeling, 2020 - degruyter.com
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 …
state of the economy) into the Vasicek default model. Other approaches to randomizing …
State-dependent Modeling of Default Rates
B Hu - 2021 - uwspace.uwaterloo.ca
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 …
the amount of backup deposit that banks need to hold in order to bear extraordinary losses …
Simple Correlated Binomial Portfolio Loss Distribution
JM Pimbley - Journal of Structured Finance, 2019 - search.proquest.com
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 …
approach imposes pairwise correlation directly on the defaults of the debt instruments in …
Efficient Routines for CDO Loss Calculations
JM Pimbley - The Journal of Structured Finance, 2020 - pm-research.com
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 …
efficiently building iterative loss distributions for debt portfolios of structured finance …