Pricing the risks of default: a note on Madan and Unal

DOI10.1023/B:REDR.0000031177.45539.1DMaRDI QIDQ704014zbMATH OpenFDO

Authors Peter Grundke, Karl O. Riedel

Publication date 12 January 2005

Published in Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

credit riskpartial differential equationdefault intensity

Mathematics Subject Classification ID

Credit risk (91G40)

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Cited in

(3)

• A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
• Computing the survival probability in the Madan-Unal credit risk model: application to the CDS market
• A jump to default extended CEV model: an application of Bessel processes

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