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Credit Risk Mitigation Based on Jarrow-Turnbull Model

โœ Scribed by Qiang Zhang; Min Wu

Book ID
113901472
Publisher
Elsevier
Year
2011
Weight
352 KB
Volume
2
Category
Article
ISSN
2211-3819

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An extension of the structural Merton's model of risk of default is proposed. It is based on an analysis of possible sources of liquidity problems leading to bankruptcy. Pricing of a debt subject to default risk requires finding a value of an American put option, which is performed by a Monte-Carlo