On the Probabilities of Correlated Defaults: a First Passage Time Approach

被引：4
|
作者：
Valuzis, M. [1 ]
机构：
[1] Vilnius Univ, Dept Math & Informat, LT-03225 Vilnius, Lithuania
来源：
NONLINEAR ANALYSIS-MODELLING AND CONTROL | 2008年 / 13卷 / 01期
关键词：
correlated defaults; joint probability of default; implied correlation;
D O I：
10.15388/NA.2008.13.1.14593
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This article investigates the joint probability of correlated defaults in the first passage time approach of credit risk subject to condition that the underlying firms' assets values and the default boundaries follow geometric Brownian motion processes. The exact analytical expression of joint probability of two correlated defaults in the case of stochastic default boundaries is presented. Also, some properties of this solution are provided.
引用
收藏
页码：117 / 133
页数：17
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