AN IMPROVED APPROACH TO EVALUATE DEFAULT PROBABILITIES AND DEFAULT CORRELATIONS WITH CONSISTENCY

DOI10.1142/S0219024916500369zbMath1396.91790MaRDI QIDQ2816962

No author found.

Publication date: 26 August 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

consistencyrisk managementdefault correlationKolmogorov forward equationprobability of defaultcredit analysisfirst-passage-time model

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Unnamed Item
• First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes
• CreditRisk\(^+\) in the banking industry.
• First passage time for multivariate jump-diffusion processes in finance and other areas of applications
• Credit risk: Modelling, valuation and hedging

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