Modelling default risk using a stochastic process approach.

MaRDI QIDQ3537587zbMATHFDO

Authors Merza H. Hasan, Basel M. Al-Eideh

Publication date 10 November 2008

Mathematics Subject Classification ID

Diffusion processes (60J60) Credit risk (91G40)

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Cited in

(2)

• A note on a model of Merton type for valuing default risk
• Modelling stylized features in default rates

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