TY - JOUR T1 - Multiple Defaults and Merton's Model JF - The Journal of Fixed Income SP - 60 LP - 68 DO - 10.3905/jfi.2004.419577 VL - 14 IS - 1 AU - Lara Cathcart AU - Lina El-Jahel Y1 - 2004/06/30 UR - https://pm-research.com/content/14/1/60.abstract N2 - 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. ER -