This paper develops a market-implied credit score as a complement to internal and agency ratings. In its general form, the implied score is a multidimensional process whose passage through regions in space signals di erent credit events. The model o ers analytical tractability and the exibility to h
✦ LIBER ✦
Optimal investment with counterparty risk: a
✍ Scribed by Ying Jiao; Huyên Pham
- Publisher
- Springer-Verlag
- Year
- 2010
- Tongue
- English
- Weight
- 896 KB
- Volume
- 15
- Category
- Article
- ISSN
- 0949-2984
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