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5. Counterparty Credit Risk with A New Reduced Form Model with Default Contagion

Counterparty Credit Risk with A New Reduced Form Model with Default Contagion

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：zx12122111121W

【摘 要】

：

　　We propose a new reduced-form model with default dependence.Our model includes both exogenous economic-wide events and interaction between companies'credit

【作 者】

：

LiWang; 

【机 构】

：

The Univ.of Manchester

【出 处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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论文部分内容阅读

　　We propose a new reduced-form model with default dependence.Our model includes both exogenous economic-wide events and interaction between companies'credit events.And it generates considerable default dependence level and allows for recovery from credit events.

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