On correlation and default clustering in credit markets

HIGHLIGHTS

• who: On Correlation et al. from the (UNIVERSITY) have published the research: On Correlation and Default Clustering in Credit Markets, in the Journal: (JOURNAL) of May/15,/2009
• what: The models the authors develop have the following properties. The authors investigate options on risky debt. The authors provide two illustrative applications of the resulting models. In Table 2, the authors compare the sensitivity of bond option prices to ρA to the sensitivity of the option prices to the jump intensity, ηf, and the impact factor, cf A.
• how: The advantage of the results . . .
  

   

  

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