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Portfolio Credit Risk: Top-Down vs. Bottom-Up Approaches
| Content Provider | Semantic Scholar |
|---|---|
| Author | Giesecke, Kay |
| Copyright Year | 2008 |
| Abstract | Dynamic reduced form models of portfolio credit risk can be distinguished by the way in which the intensity of the default process is specied. In a bottom up model, the portfolio intensity is an aggregate of the constituent intensities. In a top down model, the portfolio intensity is specied without reference to the constituents. This expository article contrasts these modeling approaches. It emphasizes the role of the information ltration as a modeling tool. |
| Starting Page | 251 |
| Ending Page | 267 |
| Page Count | 17 |
| File Format | PDF HTM / HTML |
| DOI | 10.2139/ssrn.1094338 |
| Alternate Webpage(s) | http://www.stanford.edu/dept/MSandE/cgi-bin/people/faculty/giesecke/pdfs/versus.pdf |
| Alternate Webpage(s) | http://www.stanford.edu/dept/MSandE/people/faculty/giesecke/versus.pdf |
| Alternate Webpage(s) | https://doi.org/10.2139/ssrn.1094338 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |