Mathematical Research Data Initiative
Main page
Recent changes
Random page
Help about MediaWiki
Create a new Item
Create a new Property
Merge two items
In other projects
Discussion
View source
View history
Purge
English
Log in

A modified structural model for credit risk

From MaRDI portal
Publication:2909350
Jump to:navigation, search

DOI10.1093/imaman/dpr004zbMath1245.91098OpenAlexW2141902434MaRDI QIDQ2909350

Gechun Liang, Li-Shang Jiang

Publication date: 30 August 2012

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpr004


zbMATH Keywords

Green's functionHJB equationcredit spreadindifference pricingstructural model


Mathematics Subject Classification ID

Credit risk (91G40)


Related Items (8)

An optimal control model for reducing and trading of carbon emissions ⋮ Interest rates risk-premium and shape of the yield curve ⋮ Pricing contingent convertibles with idiosyncratic risk ⋮ Indifference pricing of credit default swaps in a multi-period model ⋮ Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model ⋮ A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk ⋮ Counterparty risk valuation on credit-linked notes under a Markov chain framework ⋮ A new model and its numerical method to identify multi credit migration boundaries







This page was built for publication: A modified structural model for credit risk

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:2909350&oldid=15874983"
Tools
What links here
Related changes
Special pages
Printable version
Permanent link
Page information
MaRDI portal item
This page was last edited on 3 February 2024, at 20:12.
Privacy policy
About MaRDI portal
Disclaimers
Imprint
Powered by MediaWiki