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CORRELATED DEFAULTS IN INTENSITY-BASED MODELS

✍ Scribed by Fan Yu


Book ID
111043076
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
162 KB
Volume
17
Category
Article
ISSN
0960-1627

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## Abstract The estimation of physical intensity processes in the context of default risk is investigated here. Using data from Moody's Corporate Bond Default Database, a term structure of default probabilities for different rating classes is constructed each year from 1970 to 2001. Two specificati