We propose a reduced-form model for credit risk in a multivariate setting where the intensities of defaults are driven by affine jump diffusions processes. An important example of application for the model is a portfolio of bonds issued by many obligors, such as a Collateralized Debt Obligation (CDO). By modeling the intensities of defaults of each obligor, one can produce default scenarios that are necessary to simulate the cashflows of the collateral portfolio and hence to estimate the risk associated to any tranche of a CDO.
We assume that defaults may occur as a consequence of three independent types of credit events: the idiosyncratic one, depending only on the particular situation of the obligor, the sectoral one, affecting all the obligors belonging to a given group, the general one, affecting all the obligors. The intensities of the independent credit events are affine jump diffusion processes and the default intensity process of each obligor is a linear combination of them.
Menopause is the time in a woman's life after her menses has stopped. Many people use the term menopause to describe the years leading up to and following the last period. The time before the total cessation of menses when periods are irregular (usually 3 to 5 years before the final menstrual period) is more accurately termed the climacteric or perimenopause. Menopause may be natural, artificial, or premature. Menopause is usually identified retrospectively, when it has been over a year since the woman's last monthly period. Everything afterward is generally referred to as postmenopause, a time of estrogen-deficiency.
The average age of menopause in American women is 51 but it may begin as early as age 35 and as late as 59. Cigarette smokers tend to reach menopause earlier than non-smokers. Menopause is an experience that is unique to each woman. Some women notice little difference in their physiology while others find the change extremely troublesome and upsetting.
Recently, the relation between corporate disclosure and cost of capital has received considerable attention among academics and regulators. Disclosure can refer either to mandatory or voluntary release of information about firms’ financial positions and performance. The cost of capital is the minimum return demanded by investors to invest in a new project. The cost of capital is often viewed as a metric that captures how well financial disclosure achieves its primary function of providing value-relevant information to users of financial statements. For example, the FASB states that “The benefits of financial reporting information include better investment, credit, and similar resource allocation decisions, which in turn result in more efficient functioning of the capital markets and lower costs of capital for the economy as a whole.”
