Calibrating structural models: a new methodology based on stock and credit default swap data

DOI10.1080/14697688.2010.550308zbMath1277.91184OpenAlexW2116268932MaRDI QIDQ2866387

Santiago Forte

Publication date: 13 December 2013

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

Full work available at URL: https://doi.org/10.1080/14697688.2010.550308

zbMATH Keywords

calibrationdefault barrierstructural credit risk models

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (1)

Extracting implied volatilities from bank bonds

Cites Work

• Estimating default barriers from market information

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