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...
| Auteurs principaux: | , |
|---|---|
| Format: | Journal article |
| Langue: | English |
| Publié: |
Oxford University Press
2012
|