Abstract
Credit risk models are usually differentiated into reduced form models and structural models. The latter are usually more powerful if many credits are to be modelled, more precisely if the focus stays with the dependency structure of credits, whereas reduced form models are more adequate if single credits, like term structure of credit spreads, are considered. This paper has two objectives the first one is to analyze the credit spread dynamcis of a wide class of structural models and the second one to understand the dependency structure if the multivariate asset value model is assumed to be a shot-noise process.
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