Credit Risk Propagation in Structural-Form Models

Keyphrases

• Credit Risk 100%
• Structural Form 100%
• Correlated Defaults 100%
• Risk Propagation 100%
• Multi-factor Model 33%
• Company Value 33%
• Renewal Theory 33%
• Equal Weights 33%
• Contagion 33%
• Number of Firms 33%
• Value Process 33%
• Credit Risk Management 33%
• Multiple Firms 33%
• Distance to Default 33%
• Default Effect 33%

Economics, Econometrics and Finance

• Risk Management 100%
• Firm Value 100%
• Factor Model 100%