LIAO HSIEN-HSINGTsung-Kang ChenChia-Wu LuYu-Hui SuWei-Hung Lin2019-07-222019-07-222018https://scholars.lib.ntu.edu.tw/handle/123456789/414402This study combines a cash flow based structural credit model with a conditional independent default approach, the factor copula method, to estimate multi-period credit risk of a corporate credit portfolio. Unlike most existing portfolio credit models, this approach considers state (risk) dynamics and can endogenously estimate the recovery rate. The empirical results of applying the proposed approach to price a market-traded CDX show that the new approach performs well, especially for a model with a dynamic default threshold.enjournal article