Factor Models: Portfolio Credit Risks When Defaults are Correlated
- 1 April 2001
- journal article
- review article
- Published by Emerald Publishing in The Journal of Risk Finance
- Vol. 3 (1) , 45-56
- https://doi.org/10.1108/eb043482
Abstract
This article discusses factor models for portfolio credit. In these models, correlations between individual defaults are driven by a few systematic factors. By conditioning on these factors, defaults observed within are independent. This allows a greater degree of analytical tractability in the model with a realistic dependency structure.Keywords
This publication has 2 references indexed in Scilit:
- An analytic approach to credit risk of large corporate bond and loan portfoliosJournal of Banking & Finance, 2001
- Tobit models: A surveyJournal of Econometrics, 1984