Template-Type: ReDIF-Paper 1.0
Title: Factor Models for Portofolio Credit Risk 
Author-Name: Philipp J. Schönbucher 
Classification-JEL: G13 
Keywords: Default Risk, Portfolio Models 
Abstract: This paper gives a simple introduction to portfolio credit risk models of 
	the factor model type. In factor models, the dependence between the individual defaults 
	is driven by a small number of systematic factors. When conditioning on the realisation 
	of these factors the defaults become independent. This allows to combine a large degree 
	of analytical tractability in the model with a realistic dependency structure.
Note: 
Length: 20
Creation-Date: 2000-12
Revision-Date: 
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonedp/bgse16_2001.pdf
File-Format: application/pdf
Handle: RePEc:bon:bonedp:bgse16_2001