A modified structural model for credit risk
In this paper, we modify classical structural models such as the Black-Cox model and Merton's model by indifference pricing. The reason of doing this is because the assets of a firm, which are traditionally regarded as the underlying and used to hedge the credit risk, are usually non-tradeable...
| Hlavní autoři: | , |
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| Médium: | Journal article |
| Jazyk: | English |
| Vydáno: |
Oxford University Press
2012
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