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Research on Simulation of Credit Risk of Credit Card based on Multi-Agent

✍ 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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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