An Analysis of Default Correlations and Multiple Defaults
提出一个首次通过时间模型，给出计算违约相关性的解析公式，便于在信用分析、衍生品定价和风险管理中应用，并为信用风险文献中的若干经验规律提供理论依据。
Evaluating default correlations or the probabilities of default by more than one firm is an important task in credit analysis, derivatives pricing, and risk management. However, default correlations cannot be measured directly, multiple-default modeling is technically difficult, and most existing credit models cannot be applied to analyze multiple defaults. This article develops a first-passage-time model, providing an analytical formula for calculating default correlations that is easily implemented and conveniently used for a variety of financial applications. The model also provides a theoretical justification for several empirical regularities in the credit risk literature.