Abstract
In finance, especially for credit portfolio modeling, basket credit derivatives (CDOs, n-th to default) pricing and hedging, the building of an accurate measure of the dependence between the underlying default events is becoming a key-challenge (see Crouhy, Galai and Mark, 2002; Koyluoglu and Hickman, 1998, for a review of the current credit risk portfolio models). This new frontier has induced a huge amount of literature for several years: Nyfeler (2000), Frey and McNeil (2001), Schönbucher and Schubert (2001), Das, Geng and Kapadia (2002), Elizalde (2003), Turnbull (2003), Yu (2003), among others.
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© 2007 Jean-David Fermanian and Mohammed Sbai
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Fermanian, JD., Sbai, M. (2007). A Comparative Analysis of Dependence Levels in Intensity-Based and Merton-Style Credit Risk Models. In: Gregoriou, G.N. (eds) Advances in Risk Management. Finance and Capital Markets Series. Palgrave Macmillan, London. https://doi.org/10.1057/9780230625846_7
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DOI: https://doi.org/10.1057/9780230625846_7
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