Dependent Defaults

  • Tomasz R. Bielecki
  • Marek Rutkowski
Part of the Springer Finance book series (FINANCE)


In this chapter, we continue the study of the intensity-based approach to the modeling of dependent defaults. In Sect. 10.1, we shall analyze the ideas presented in a recent paper by Jarrow and Yu (2001). Then, in Sect. 10.2, we will analyze the martingale approach to the valuation of basket credit derivatives. For related results, the interested reader may consult Duffie (1998), Duffle and Singleton (1998b), Hull and White (2000, 2001), as well as to Lando (2000b), who examines the issue of modeling correlated defaults within the framework of a ratings-based model.


Credit Risk Price Process Martingale Measure Default Probability Copula Function 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  • Tomasz R. Bielecki
    • 1
  • Marek Rutkowski
    • 2
  1. 1.Applied Mathematics DepartmentIllinois Institute of TechnologyChicagoUSA
  2. 2.Faculty of Mathematics and Information SciencePolitechnika WarszawskaWarszawaPoland

Personalised recommendations