Default Correlation: An Analytical Result

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1 January 1997

journal article
Published by Board of Governors of the Federal Reserve System in Finance and Economics Discussion Series

Vol. 1997.0 (27) , 1-30
https://doi.org/10.17016/feds.1997.27

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This publication has 5 references indexed in Scilit:

A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities
SSRN Electronic Journal, 1997
A Simple Approach to Valuing Risky Fixed and Floating Rate Debt
The Journal of Finance, 1995
Default Correlation and Credit Analysis
The Journal of Fixed Income, 1995
Using Default Rates to Model the Term Structure of Credit Risk
CFA Magazine, 1994
VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS
The Journal of Finance, 1976