Back to Search Start Over

Credit Contagion in a Structural Framework.

Authors :
Bock, Hans-Georg
de Hoog, Frank
Friedman, Avner
Gupta, Arvind
Pulleyblank, William R.
Rusten, Torgeir
Santosa, Fadil
Tornberg, Anna-Karin
Capasso, Vincenzo
Mattheij, Robert
Neunzert, Helmut
Scherzer, Otmar
Bonilla, Luis L.
Moscoso, Miguel
Platero, Gloria
Vega, Jose M.
Haworth, Helen
Source :
Progress in Industrial Mathematics at ECMI 2006; 2008, p630-636, 7p
Publication Year :
2008

Abstract

Credit risk, often thought of as the risk arising from a company default, is the risk that an obligor does not honour its obligations. It is the reason the multitrillion dollar credit derivatives market exists and its influence is pervasive across global financial markets. As multi-asset credit products have increased in popularity, the need for models incorporating a realistic dependence structure between companies has grown. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISBNs :
9783540719915
Database :
Supplemental Index
Journal :
Progress in Industrial Mathematics at ECMI 2006
Publication Type :
Book
Accession number :
34003470
Full Text :
https://doi.org/10.1007/978-3-540-71992-2_104