A Generalized Single Common Factor Model of Portfolio Credit Risk

Paul H. Kupiec

doi:10.3905/jod.2008.702504

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A Generalized Single Common Factor Model of Portfolio Credit Risk

Paul H. Kupiec

The Journal of Derivatives Spring 2008, 15 (3) 25-40; DOI: https://doi.org/10.3905/jod.2008.702504

Paul H. Kupiec

The associate director of the Division of Insurance and Research at Federal Deposit Insurance Corporation in Washington, DC.

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For correspondence: pkupiec@fdic.gov

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A Generalized Single Common Factor Model of Portfolio Credit Risk

Paul H. Kupiec

The Journal of Derivatives Feb 2008, 15 (3) 25-40; DOI: 10.3905/jod.2008.702504

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A Generalized Single Common Factor Model of Portfolio Credit Risk

Paul H. Kupiec

The Journal of Derivatives Feb 2008, 15 (3) 25-40; DOI: 10.3905/jod.2008.702504

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