Default Correlations in the Merton Model*

DOI10.1093/ROF/RFT030zbMath1417.91523OpenAlexW2160683215MaRDI QIDQ4554704

Ulrich Erlenmaier, Hans Gersbach

Publication date: 9 November 2018

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rft030

zbMATH Keywords

default probabilitiesMerton modelloan pricingdefault correlationsadverse macroeconomic shockscredit portfolio risk

Mathematics Subject Classification ID

Credit risk (91G40)

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