Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process. (Q1423367)
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scientific article; zbMATH DE number 2041776
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| 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)
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14 February 2004
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Default risk
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Jump-diffusion process
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Structural model
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Reduced-form model
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0.8228389024734497
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0.8170989155769348
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0.7917417287826538
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0.7835040092468262
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