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In Rememberance: World Trade Center (WTC)

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Simulating Correlated Defaults

by Darrell Duffie of Stanford University, and
Kenneth Singleton of Stanford University

May 21, 1999

Abstract: This paper reviews some conventional and novel approaches to modeling and simulating correlated default times (and losses) on portfolios of loans, bonds, OTC derivatives, and other credit positions. We emphasize the impact of correlated jumps in credit quality on the performance of large portfolios of positions.

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