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The Journal of Fixed Income

The Journal of Fixed Income

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Primary Article

Multiple Defaults and Merton's Model

Lara Cathcart and Lina El-Jahel
The Journal of Fixed Income Summer 2004, 14 (1) 60-68; DOI: https://doi.org/10.3905/jfi.2004.419577
Lara Cathcart
An assistant professor at Tanaka Business School of Imperial College in London, UK.
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  • For correspondence: l.cathcart@imperial.ac.uk
Lina El-Jahel
An assistant professor at Tanaka Business School of Imperial College in London, UK.
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  • For correspondence: l.el-jahel@imperial.ac.uk
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Abstract

Multiple defaults and default correlations are crucial inputs in risk management, credit derivatives, and credit analysis. An extension of the structural framework to accommodate multiple defaults provides a simple and unified framework for calculating single and joint default probabilities in closed form for more than two firms. The results are useful in various financial applications.

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The Journal of Fixed Income
Vol. 14, Issue 1
Summer 2004
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Multiple Defaults and Merton's Model
Lara Cathcart, Lina El-Jahel
The Journal of Fixed Income Jun 2004, 14 (1) 60-68; DOI: 10.3905/jfi.2004.419577

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Multiple Defaults and Merton's Model
Lara Cathcart, Lina El-Jahel
The Journal of Fixed Income Jun 2004, 14 (1) 60-68; DOI: 10.3905/jfi.2004.419577
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