Author:
Denuit Michel,Frostig Esther
Abstract
This article considers portfolio credit risk models of factor type. The dependence between the individual defaults is driven by a small number of systematic factors. The present work aims to investigate the effect of increasing the strength of the dependence between systematic factors on the default indicators in standard credit risk models. The intensity of the dependence is measured by means of appropriate multivariate stochastic orderings, based on the comparison of supermodular and ultramodular functions.
Publisher
Cambridge University Press (CUP)
Subject
Industrial and Manufacturing Engineering,Management Science and Operations Research,Statistics, Probability and Uncertainty,Statistics and Probability
Cited by
13 articles.
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