Factor Models for Portofolio Credit Risk

Philipp Schönbucher

No 16/2001, Bonn Econ Discussion Papers from University of Bonn, Bonn Graduate School of Economics (BGSE)

Abstract: This paper gives a simple introduction to portfolio credit risk models of the factor model type. In factor models, the dependence between the individual defaults is driven by a small number of systematic factors. When conditioning on the realisation of these factors the defaults become independent. This allows to combine a large degree of analytical tractability in the model with a realistic dependency structure.

Keywords: Default Risk; Portfolio Models (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (19)

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