Before revision: We question the industry practice of economic scenario generation involving statistically dependent default times. In particular, we investigate under which conditions a single simulation of joint default times at a final time horizon can be decomposed in a set of simulations of joint defaults on subsequent adjacent sub-periods leading to that final horizon.
After revision: We investigate under which conditions a single simulation of joint default times at a final time horizon can be decomposed in a set of simulations of joint defaults on subsequent adjacent sub-periods leading to that final horizon.