Valuing risky debt: a new model combining structural information with the reduced-form approach
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Publication:743165
DOI10.1016/J.INSMATHECO.2014.02.002zbMath1296.91271OpenAlexW1995449449MaRDI QIDQ743165
Luca Vincenzo Ballestra, Graziella Pacelli
Publication date: 22 September 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.02.002
Related Items (5)
Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market ⋮ LLN-type approximations for large portfolio losses ⋮ Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach ⋮ Valuation of the vulnerable option price based on mixed fractional Brownian motion ⋮ A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches
Uses Software
Cites Work
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