𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On a variational formulation used in credit risk modeling

✍ Scribed by Graziella Pacelli; Luca Vincenzo Ballestra


Book ID
116494859
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
212 KB
Volume
7
Category
Article
ISSN
1544-6123

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


A model of credit risk based on cash flo
✍ Marek Capinski πŸ“‚ Article πŸ“… 2007 πŸ› Elsevier Science 🌐 English βš– 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