… face value K of the bonds, the bond holders will receive their promised payment K and the
shareholders will get the remaining VT −K. However, if the value of assets VT is less than K, …

… < t m a noisy asset report Y t k = V t k + U t k , where U t k is some independent noise random
… U t k can be interpreted as a measure of the degree of asset noise at time t. The U t k can be …

We study corporate bond default rates using an extensive new data set spanning the 1866–2008
period. We find that the corporate bond market has repeatedly suffered clustered …

… by a lower attachment point K ∈ [0,1] and an upper attachment point K ∈ (K,1]. An index
swap has attachment points K = 0 and K = 1. The swap notional K = n(K − K). The protection …

… the parameter θ we consider Kendall's rank correlation ρ K , given by(17) ρ K =4∫ 1 0 ∫
1 0 C(u,v;θ) d C(u,v;θ)−1= θ θ+2 . This shows that ρ K is determined by the copula only and is …

… k and x we denote the expected losses conditional on these states by l x (k):=∫uM k,x (du),
and assume that for every k… x (k), and we have for the conditional expected loss vector l ̃ (k)=(…

We study the sources of corporate default clustering in the United States. We reject the
hypothesis that firms’ default times are correlated only because their conditional default rates …

Credit contagion refers to the propagation of economic distress from one firm to another. This
article proposes a reduced-form model for these contagion phenomena, assuming they are …

Introduction: Patients who await surgery often suffer from fear and anxiety, which can be
prevented by anxiolytic drugs. Relaxing music may be an alternative treatment with fewer …

A thorough understanding of the joint default behavior of credit-risky securities is essential
for credit risk measurement as well as the valuation of multi-name credit derivatives and …