## 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
On Models of Default Risk
β Scribed by R. J. Elliott; M. Jeanblanc; M. Yor
- Book ID
- 108550460
- Publisher
- John Wiley and Sons
- Year
- 2000
- Tongue
- English
- Weight
- 285 KB
- Volume
- 10
- Category
- Article
- ISSN
- 0960-1627
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Reduced form model is one of the most popular models for studying credit risks. The key parameter in these models is the default probability. Under the assumption that default is exogenous, it is quite easy to compute the default probability through a statistical model. In this article, we argue tha