Graphical models for correlated defaults

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dc.creatorFiliz, I. Onur
dc.creatorGuo, Xin
dc.creatorMorton, Jason
dc.creatorSturmfels, Bernd
dc.date2008-09-08
dc.date.accessioned2026-07-07T12:10:38Z
dc.date.available2026-07-07T12:10:38Z
dc.descriptionA simple graphical model for correlated defaults is proposed, with explicit formulas for the loss distribution. Algebraic geometry techniques are employed to show that this model is well posed for default dependence: it represents any given marginal distribution for single firms and pairwise correlation matrix. These techniques also provide a calibration algorithm based on maximum likelihood estimation. Finally, the model is compared with standard normal copula model in terms of tails of the loss distribution and implied correlation smile.
dc.description30 pages, 16 figures
dc.identifierhttps://arxiv.org/abs/0809.1393
dc.identifierhttp://arxiv.org/abs/0809.1393
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209991
dc.subjectComputational Finance
dc.subjectProbability
dc.subjectRisk Management
dc.subjectStatistical Finance
dc.titleGraphical models for correlated defaults
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