Calibration of the default probability model

DOI10.1016/j.ejor.2004.11.029zbMath1163.91436OpenAlexW2045249627MaRDI QIDQ2464231

Alexander Kreinin, Ahmed Nagi

Publication date: 10 December 2007

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2004.11.029

zbMATH Keywords

calibrationcredit riskdefault probabilityMerton-Vasicek model

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Related Items (3)

Default probability estimation via pair copula constructions ⋮ Enhancing credit default swap valuation with meshfree methods ⋮ Analytical methods for hedging systematic credit risk with linear factor portfolios

Uses Software

• BRENT
• CreditRisk+

Cites Work

• Unnamed Item

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