The stochastic nature of default correlation.

The stochastic nature of default correlation.
Ioulia Tretiakova, Ioulia Tret ...
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January 24, 2010 | History

The stochastic nature of default correlation.

This paper examines some empirical evidence related to the common assumption made in credit default risk modelling where correlation is usually presumed to be constant. Using CDS Spread indices from the liquid and efficient markets of credit derivatives, we consider an example of two car manufacturers, General Motors and Ford and show that correlation between the credit indices of these two companies is stochastic. Further analysis shows that in fact correlation process is stationary and fits normal distribution well. Under the assumption of normality, we extend the version of the structural model proposed by Hull, Predescu and White (2005) to account for stochastic correlation.

Publish Date
Language
English
Pages
36

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Book Details


Edition Notes

Source: Masters Abstracts International, Volume: 44-02, page: 0916.

Thesis (M.Sc.)--University of Toronto, 2005.

Electronic version licensed for access by U. of T. users.

GERSTEIN MICROTEXT copy on microfiche (1 microfiche).

The Physical Object

Pagination
36 leaves.
Number of pages
36

Edition Identifiers

Open Library
OL19217239M
ISBN 10
0494073799

Work Identifiers

Work ID
OL12683670W

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January 24, 2010 Edited by WorkBot add more information to works
December 11, 2009 Created by WorkBot add works page