Research on Simulation of Credit Risk of Credit Card based on Multi-Agent
β Scribed by Li, Shuai; Chao, Xu; Hui, Lai; Zhou, Zongfang
- Book ID
- 124138740
- Publisher
- Elsevier
- Year
- 2014
- Tongue
- English
- Weight
- 195 KB
- Volume
- 31
- Category
- Article
- ISSN
- 1877-0509
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π SIMILAR VOLUMES
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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