Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process. (Q1423367)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 2041776
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process. |
scientific article; zbMATH DE number 2041776 |
Statements
Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process. (English)
0 references
14 February 2004
0 references
Default risk
0 references
Jump-diffusion process
0 references
Structural model
0 references
Reduced-form model
0 references
0.8228389024734497
0 references
0.8170989155769348
0 references
0.7917417287826538
0 references
0.7835040092468262
0 references
