Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model (Q878214): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 01:29, 5 March 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)
0 references
26 April 2007
0 references
cumulative default probability
0 references
structural model
0 references
jump-diffusion
0 references
endogenous capital structure
0 references
Esscher transform
0 references
Kou processes
0 references
