Journal ArticleOPEN ACCESS

Dynamic credit models

  • Inglis S
  • Lipton A
  • Savescu I
  • et al.
Statistics and Its Interface (2008) 1(2) 211-227
DOI: 10.4310/sii.2008.v1.n2.a1
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Abstract

We present a dynamic framework to model the default events of individual obligors and the correlation between these default events. For the first purpose, we present the concepts of the dynamic jump-to-default model. For the sec- ond purpose, we concentrate on factor models which

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Inglis, S., Lipton, A., Savescu, I., & Sepp, A. (2008). Dynamic credit models. Statistics and Its Interface, 1(2), 211–227. https://doi.org/10.4310/sii.2008.v1.n2.a1

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