Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 31, 2005 erstellt
Description:
This paper presents a semi-analytical valuation method for basket credit derivatives in a flexible intensity-based model. Default intensities are modelled as heterogeneous, correlated affine jump-diffusions. An empirical application documents that the model fits market prices of benchmark basket credit derivatives reasonably well, consistent with the observed correlation skew. Hence, I argue, contrary to comments in the literature, that intensity-based portfolio credit risk models can be both tractable and capable of generating realistic levels of default correlation