International Research journal of Management Science and Technology
ISSN 2250 - 1959 (online) ISSN 2348 - 9367 (Print) New DOI : 10.32804/IRJMST
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A DYNAMIC DEFAULT DEPENDENCE MODEL
1 Author(s): CHANDER MOHAN PARMAR
Vol - 2, Issue- 3 , Page(s) : 40 - 42 (2011 ) DOI : https://doi.org/10.32804/IRJMST
This paper aims at contributing to the literature on the pricing of portfolios of credit derivatives (such as CDOs or basket CDS) where the goal is to compute the joint probability of default of a portfolio of risky assets. In this regard, the risk of default of each asset in the portfolio depends on mostly two sources of randomness: an individual risk factor and a common market factor. The latter represents the uncertainty affecting all assets simultaneously.