Randomized structural models of credit spreads

DOI10.1080/14697688.2010.507213zbMath1277.91189OpenAlexW1978966152MaRDI QIDQ2866361

Alexander Tchernitser, Tom Hurd, Chuang Yi

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.507213

zbMATH Keywords

incomplete informationcredit spreadssolvency ratiorandomized Black-Coxrandomized Merton

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (1)

Application of nonlinear filtering to credit risk

Cites Work

• Default and information
• Credit Risk Models with Incomplete Information
• Stochastic Volatility Effects on Defaultable Bonds
• Term Structures of Credit Spreads with Incomplete Accounting Information

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