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Credit risk with asymmetric information on the default threshold

โœ Scribed by Hillairet, Caroline; Jiao, Ying


Book ID
124097951
Publisher
Taylor and Francis Group
Year
2011
Tongue
English
Weight
507 KB
Volume
84
Category
Article
ISSN
1744-2508

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Statistical Inference on the Default Pro
โœ Yong ZHOU; Shangyu XIE; Yuan YUAN ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› Elsevier โš– 241 KB

Reduced form model is one of the most popular models for studying credit risks. The key parameter in these models is the default probability. Under the assumption that default is exogenous, it is quite easy to compute the default probability through a statistical model. In this article, we argue tha