3
$\begingroup$

Reading this note it strikes me that credit spreads and defaults seem not to be commonly modeled jointly (e.g. more or less directly in structural models), but at best with some kind of "ex post" dependency adjustment in a strictly intensity oriented fashion. Can someone here confirm/rebutt or even detail on his approach and on what he has seen done by peers?

$\endgroup$

0

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Browse other questions tagged or ask your own question.