Extending the Merton model with applications to credit value adjustment (Q6165387)
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scientific article; zbMATH DE number 7720625
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extending the Merton model with applications to credit value adjustment |
scientific article; zbMATH DE number 7720625 |
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Extending the Merton model with applications to credit value adjustment (English)
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31 July 2023
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finance
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structural credit risk
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Merton model
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variance-gamma process
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credit value adjustment
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