RT Journal Article
SR Electronic
T1 Multiple Defaults and Merton's Model
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 60
OP 68
DO 10.3905/jfi.2004.419577
VO 14
IS 1
A1 Lara Cathcart
A1 Lina El-Jahel
YR 2004
UL https://pm-research.com/content/14/1/60.abstract
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.