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Modèle de défaut à intensité

Author

Listed:
  • O. Senhadji El Rhazi

    (UPMC - Université Pierre et Marie Curie - Paris 6)

Abstract

Le but de cette étude est de présenter des méthodes à intensité de défaut dans l'évaluation des produits à risque. On propose, dans une première partie, une synthèse des résultats principaux associés aux modèles à intensité. Ensuite, on présente la méthodologie utilisée pour la construction d'un modèle CIR et corrélation entre l'intensité du défaut et les taux de crédit court terme sans risque. Enfin, on analyse les résultats des simulations, des cas particuliers et les problèmes numériques rencontrés.

Suggested Citation

  • O. Senhadji El Rhazi, 2004. "Modèle de défaut à intensité," Working Papers hal-01415455, HAL.
    • Handle: RePEc:hal:wpaper:hal-01415455
    Note: View the original document on HAL open archive server: https://hal.science/hal-01415455
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