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Article
Publication date: 1 April 2001
This article discusses factor models for portfolio credit. In these models, correlations between individual defaults are driven by a few systematic factors. By conditioning on…
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Abstract
This article discusses factor models for portfolio credit. In these models, correlations between individual defaults are driven by a few systematic factors. By conditioning on these factors, defaults observed within are independent. This allows a greater degree of analytical tractability in the model with a realistic dependency structure.
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