A simple continuous measure of credit risk

MaRDI QIDQ3570228zbMATH OpenFDO

Authors Josefina Martínez Barbeito

Publication date 25 June 2010

zbMATH Keywords

continuous measures of credit riskpricing and risk management of credit derivativesrisk neutral default intensity of credit riskto credit firms ratings

Mathematics Subject Classification ID

Credit risk (91G40)

Recommendations

• Multiple ratings model of defaultable term structure.
• Credit risk and contagion via self-exciting default intensity
• scientific article; zbMATH DE number 1971720
• A comparative analysis of current credit risk models
• Credit risk valuation. Methods, models, and applications.

Cited in

(3)

• Measuring credit risk of individual corporate bonds in US energy sector
• Continuous monitoring: does credit risk vanish?
• scientific article; zbMATH DE number 2151371 (Why is no real title available?)

This page was built for publication: A simple continuous measure of credit risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3570228)