  We set up a structural model to study credit risk for a portfolio containing
several or many credit contracts. The model is based on a jump--diffusion
process for the risk factors, i.e. for the company assets. We also include
correlations between the companies. We discuss that models of this type have
much in common with other problems in statistical physics and in the theory of
complex systems. We study a simplified version of our model analytically.
Furthermore, we perform extensive numerical simulations for the full model. The
observables are the loss distribution of the credit portfolio, its moments and
other quantities derived thereof. We compile detailed information about the
parameter dependence of these observables. In the course of setting up and
analyzing our model, we also give a review of credit risk modeling for a
physics audience.
