A model of credit risk based on cash flo
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Marek Capinski
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Article
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2007
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Elsevier Science
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English
β 617 KB
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