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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Correlation Processes: Application to Default Intensity Models |
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| Institution | University of Zurich |
| Faculty | Faculty of Economics, Business Administration and Information Technology |
| Date | 2011 |
| Zusammenfassung | In this paper we apply different exogenous correlation processes to build reasonable and yet innovative relations between a stochastic risk free rate and many default intensity processes. As a result we compare the effects in the discounting rate process when using a direct stochastic model for the correlation process, to one that is implied from a multidimensional Wishart covariance process. We accomplish all of this in several unique model settings. A single firm with a single default intensity rate stochastically correlated to a risk free rate; a conglomerate, where we identify two default intensity processes that are again stochastically intercorrelated with the risk free rate; and we encompass a default indicator process generated from a geometric Brownian motion. |
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