Default prediction with the Merton-type structural model based on the NIG Lévy process (Q730567)
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scientific article; zbMATH DE number 6668814
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| English | Default prediction with the Merton-type structural model based on the NIG Lévy process |
scientific article; zbMATH DE number 6668814 |
Statements
Default prediction with the Merton-type structural model based on the NIG Lévy process (English)
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28 December 2016
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default prediction
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structural models
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Lévy process
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normal inverse Gaussian distribution
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0.8318129777908325
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0.7804934978485107
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0.7680723667144775
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0.7532457709312439
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0.740513265132904
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