Portfolio Credit Risk : Top down Vs . Bottom up Approaches

Abstract

Dynamic reduced form models of portfolio credit risk can be distinguished by the way in which the intensity of the default process is specified. In a bottom up model, the portfolio intensity is an aggregate of the constituent intensities. In a top down model, the portfolio intensity is specified without reference to the constituents. This expository article… (More)

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Cite this paper

@inproceedings{Giesecke2008PortfolioCR, title={Portfolio Credit Risk : Top down Vs . Bottom up Approaches}, author={Kay Giesecke}, year={2008} }