A Comparison of Stochastic Default Rate Models
- 1 January 2000
- preprint
- Published by Elsevier BV in SSRN Electronic Journal
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 OThis publication has 6 references indexed in Scilit:
- Sticks and StonesPublished by Bloomsbury Academic ,2018
- Cornerstone tranches or corporate placings?Published by JSTOR ,2018
- Portfolio Credit RiskPublished by Springer Science and Business Media LLC ,2013
- On Default CorrelationThe Journal of Fixed Income, 2000
- A comparative anatomy of credit risk modelsJournal of Banking & Finance, 2000
- Modeling Term Structures of Defaultable BondsThe Review of Financial Studies, 1999