Default probabilities and default correlations
Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence, portf...
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| Main Authors: | , |
|---|---|
| Format: | Book/Monograph Working Paper |
| Language: | English |
| Published: |
Frankfurt a. M.
Deutsche Bank Research
2001
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| Edition: | First Version: April 2000, This Version: October 2001 |
| Series: | Research notes in economics & statistics
01-5 |
| In: |
Research notes in economics & statistics (01-5)
|
| Subjects: | |
| Online Access: | Resolving-System, kostenfrei, Volltext: http://hdl.handle.net/10419/40256
|
| Author Notes: | Ulrich Erlenmaier and Hans Gersbach |
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