Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model (Q878214): Difference between revisions
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Revision as of 06:43, 14 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model |
scientific article |
Statements
Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model (English)
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26 April 2007
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cumulative default probability
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structural model
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jump-diffusion
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endogenous capital structure
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Esscher transform
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Kou processes
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