Default barrier intensity model for credit risk evaluation

DOI10.1016/j.spl.2014.08.008zbMath1307.91187OpenAlexW2010889536MaRDI QIDQ464482

Majdi Elhiwi

Publication date: 27 October 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.08.008

zbMATH Keywords

conditional expectationcredit riskdefault intensitybarrier processstructural and reduced form model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites Work

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