Default probabilities of a holding company, with complete and partial information

DOI10.1016/j.cam.2014.04.003zbMath1319.91150OpenAlexW1979475083MaRDI QIDQ2517514

Griselda Deelstra, Donatien Hainaut

Publication date: 26 August 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2014.04.003

zbMATH Keywords

incomplete informationcomonotonicitydefault riskconvex orderingstructural model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Credit risk (91G40)

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