This article examines a crucial source of specification risk when calibrating a typical industry-
type, Merton-based credit portfolio model. It emerges from the necessity of having to choose …

Systemic default risk—that is, the risk of the simultaneous default of multiple institutions—
has caused great concern in the recent past. The aim of this article is to estimate the joint …

During the subprime mortgage crisis, it became apparent that practical models, such as the
one-factor Gaussian copula, had underestimated company default correlations. Complex …

Using the research framework of a domino effect in firms, we first make theoretical
contributions by addressing several testable hypotheses regarding asymmetrical default …

This article examines a crucial source of specification risk when calibrating a typical industry-
type, Merton-based credit portfolio model. It emerges from the necessity of having to choose …

This article reviews the literature on techniques of credit risk models, multi-period risk
measurement, and capital allocation, and gives a tutorial on applying these techniques to …

In the top-down approach of portfolio credit risk modeling, we assess credit risks of sub-
portfolios with the so-called random thinning model, which dissects the portfolio risk into sub …

We introduce a credit portfolio risk model within the “top-down approach” and then
demonstrate applicability of our model to practical credit risk management via some …

In the top-down approach of intensity-based credit risk modeling, a procedure called
“random thinning” is needed to obtain credit event intensities for sub-portfolios. This paper …

Default correlation is the extent to which one company's default causes another's default. It
measures the relationship between a firm's individual default probability and the joint default …