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Stochastic Default Rate Model Comparison by Tatenda is a document available to read on EtoBox.

This paper compares four stochastic default rate models for analyzing defaults in portfolios over multiple horizons, particularly in the context of Collateralized Debt Obligations (CDOs). The study highlights significant differences in results based on model structures and distribution choices, emphasizing the importance of model selection for accurate analysis. The models examined include extensions of CreditMetrics and a copula function approach, with a focus on how these models handle the timing of defau

Author

Tatenda

Language

EN