A Comparison of Stochastic Default Rate Models

Preprint

1 January 2000

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.240055

Abstract

For single horizon models of defaults in a portfolio, the effect of model and distribution choice on the model results is well understood. Collateralized Debt O

Keywords

CREDIT RISK
DEFAULT RATE
COLLATERALIZED DEBT OBLIGATIONS

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