A model for the credit risk of a portfolio of market driven financial contracts (for
example swaps) is introduced. The viewpoint of the financial institution who holds
this portfolio is taken. The default intensity of a single counterparty is assumed to
write as a sum of two parts: An individual component is unknown and modelled
as noise, the collective component is known and dependent on market variables
(like the interest rate). The in
uence of the credit events to the market variables
is neglected. The advantage of this model is given by the possibility to consider
the statistic of the credit events conditioned on a market situation. By taking a
functional like the expectation value of this conditional statistic only the market
variables remain stochastic. Therefore this model is especially suited for measuring
the impact of the market variables onto the credit risk.
Dieser Eintrag ist Teil der Universitätsbibliographie.
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