Pricing the risks of default

zbMATH Open1418.91526MaRDI QIDQ5226697FDOQ5226697

Authors: Dilip B. Madan, Haluk Unal 

Publication date: 1 August 2019

Recommendations

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• A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS

zbMATH Keywords

hazard ratedefault timingrecovery risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Cited In (5)

• Pricing the risks of default
• Distressed debt prices and recovery rate estimation
• Title not available (Why is that?)
• Default Probabilities for Mortgages
• Default Risk, Asset Pricing, and Debt Control

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