An analysis of simultaneous company defaults using a shot noise process.
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DOI: 10.1016/j.jbankfin.2017.04.007
Abstract: During subprime mortgage crisis, it became apparent that incumbent models had underestimated company default correlations. Complex models that attempt to incorporate default dependency are difficult to implement in practice. On the contrary, practical models, such… read more here.
Keywords: company; model; shot noise; noise process ... See more keywords