%0 Journal Article %A Lara Cathcart %A Lina El-Jahel %T Multiple Defaults and Merton's Model %D 2004 %R 10.3905/jfi.2004.419577 %J The Journal of Fixed Income %P 60-68 %V 14 %N 1 %X 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. %U https://jfi.pm-research.com/content/iijfixinc/14/1/60.full.pdf