Present value of firm asset in case of correlated defaults: a generalized structural approach of credit risk
This article investigatesthe present value of a firm’s asset in the case of n \geq 2 correlateddefaults. The structural approach of credit risk is developed in the case when default boundaries follow geometric Brownian motions. Correlated defaults are defined by the implied correlation of Brownian m...
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2007-12-01
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| Series: | Lietuvos Matematikos Rinkinys |
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| Online Access: | https://www.journals.vu.lt/LMR/article/view/18188 |