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A Remark on default risk models · Study

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ChapterA Remark on default risk models

Shigeo Kusuoka1999

Chapter1999

A Remark on default risk models

236 citations·0/0 files stored·Advances in mathematical economics

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Stochastic processes and financial applications Credit Risk and Financial Regulations Financial Distress and Bankruptcy Prediction

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References

1995Pricing Derivatives on Financial Securities Subject to Credit Risk 2001Term Structures of Credit Spreads with Incomplete Accounting Information

Cited by

2005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS 2005Default and information 2004A General Formula for Valuing Defaultable Securities 2007CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS 2005Credit risk modeling with affine processes 2010Paris-Princeton Lectures on Mathematical Finance 2010 2004MODELING CREDIT RISK WITH PARTIAL INFORMATION 2005A Top-Down Approach to Multi-Name Credit

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2004Structural Models of Corporate Bond Pricing: An Empirical Analysisarticle · 2 shared references 2001Counterparty Risk and the Pricing of Defaultable Securitiesarticle · 2 shared references 2004Credit Risk Modelingchapter · 2 shared references 2006Liquidity and Credit Riskarticle · 2 shared references 2006Macroeconomic Dynamics and Credit Risk: A Global Perspectivearticle · 2 shared references 2003How Much of Corporate-Treasury Yield Spread Is Due to Credit Risk?: A New Calibration Approachpreprint · 2 shared references

Details

Year1999

Typechapter

Published1999-01-01

VenueAdvances in mathematical economics

ISSN-L1866-2226

Languageen

Citations236

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-4-431-65895-5_5

openalex_workW1507616993

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