Modele zależnego ryzyka kredytowego
The models of dependent credit risks

Summary/Abstract: The paper is devoted to the models of dependent credit risks. The models with the dependent random variables and processes are presented. Two basic models of dependent credit risk: the model with latent variable and mixture Bernoulli model are studied. Some of their modifications based on copulas are investigated, too. The influence of the degree of de-pendence on the number of defaulted obligors and total loss is studied.

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