The study of default probability under incomplete information based on structural model

DOI10.3969/J.ISSN.1001-4268.2017.03.003MaRDI QIDQ3131136zbMATH OpenFDO

Authors X. Q. Li, Shaogang Chen

Publication date 29 January 2018

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2017.03.003

zbMATH Keywords

default boundarydefault probabilityfirst passage time modelincomplete informationstructural model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(2)

• On correlated defaults and incomplete information
• Default probabilities of a holding company, with complete and partial information

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