A comparison of stochastic default rate models

@inproceedings{Finger2000ACO,
  title={A comparison of stochastic default rate models},
  author={Christopher C. Finger},
  year={2000}
}
  • Christopher C. Finger
  • Published 2000
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 Obligations in particular have sparked interest in default models over multiple horizons. For these, however, there has been little research, and there is little understanding of the impact of various model assumptions. In this article, we investigate four approaches to multiple horizon modeling of defaults in a portfolio. We calibrate… CONTINUE READING
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