Contributions to Multivariate Structural Approaches in Credit Risk Modeling

Swantje Becker (), Stefanie Kammer () and Ludger Overbeck ()
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Swantje Becker: University of Giessen
Stefanie Kammer: University of Giessen
Ludger Overbeck: University of Giessen

A chapter in Mathematics – Key Technology for the Future, 2008, pp 281-294 from Springer

Abstract: Abstract Credit risk models are usually differentiated into reduced form models and structural models. The latter are usually more powerful if many credits are to be modelled, more precisely if the focus stays with the dependency structure of credits, whereas reduced form models are more adequate if single credits, like term structure of credit spreads, are considered. This paper has two objectives the first one is to analyze the credit spread dynamcis of a wide class of structural models and the second one to understand the dependency structure if the multivariate asset value model is assumed to be a shot-noise process.

Keywords: Brownian Motion; Credit Risk; Term Structure; Time Change; Credit Default Swap (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-77203-3_18

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DOI: 10.1007/978-3-540-77203-3_18

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