PT - JOURNAL ARTICLE AU - Lara Cathcart AU - Lina El-Jahel TI - Multiple Defaults and Merton's Model AID - 10.3905/jfi.2004.419577 DP - 2004 Jun 30 TA - The Journal of Fixed Income PG - 60--68 VI - 14 IP - 1 4099 - https://pm-research.com/content/14/1/60.short 4100 - https://pm-research.com/content/14/1/60.full AB - Multiple defaults and default correlations are crucial inputs in risk management, credit derivatives, and credit analysis. An extension of the structural framework to accommodate multiple defaults provides a simple and unified framework for calculating single and joint default probabilities in closed form for more than two firms. The results are useful in various financial applications.