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Journal Extract: A Comparison of Stochastic Default Rate Models
Jan 1, 2010
Collateralized Debt Obligations have sparked interest in portfolio default models over multiple horizons. For these, in contrast to single period models, there is little understanding of the impact of model assumptions. We investigate four multiple horizon models, each calibrated to the same set of input data. Our results show a significant disparity, showing that the issue of model choice is more consequential here than in the single period case.
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