Add to ORKGIn this note, we consider a Merton model for default risk, where the firm’s value is driven by a Brownian motion and a compound Poisson process
This paper proposes a convenient and generally applicable diagnostic m-test for checking the distrib...
We inspect the question how to adapt to macro-economical variables those probability of default (PD)...
We derive analytic expressions for the tail behavior of credit losses in a large homogeneous credit ...
In this note, we consider a Merton model for default risk, where the firm’s value is driven by a Bro...
2000 Mathematics Subject Classification: 60K10, 62P05We consider the risk model in which the claim c...
This paper examines a new model of credit risk measurement, the Variance Gamma- Merton one, which se...
The Cramer-Lundberg model with stochastic premiums which is natural generalization of classical dyna...
A stochastic model with hidden discrete Markov processes is constructed to understand the behavior o...
2000 Mathematics Subject Classification: 60K10, 62P05.The compound Poisson risk models are widely us...
The jump distribution for the default intensities in a reduced form framework is modeled and calibra...
Affine jump-diffusion term structure models (AJTSMs) are recently receiving much attention in mathem...
Lam, Ho Man."August 2010."Thesis (M.Phil.)--Chinese University of Hong Kong, 2010.Includes bibliogra...
We consider a two factor interest rate model, where the volatility level follows continuous time fin...
AbstractIn this paper we consider a semimartingale model for the evolution of the price of a financi...
AbstractAn extension of the structural Merton’s model of risk of default is proposed. It is based on...
This paper proposes a convenient and generally applicable diagnostic m-test for checking the distrib...
We inspect the question how to adapt to macro-economical variables those probability of default (PD)...
We derive analytic expressions for the tail behavior of credit losses in a large homogeneous credit ...
In this note, we consider a Merton model for default risk, where the firm’s value is driven by a Bro...
2000 Mathematics Subject Classification: 60K10, 62P05We consider the risk model in which the claim c...
This paper examines a new model of credit risk measurement, the Variance Gamma- Merton one, which se...
The Cramer-Lundberg model with stochastic premiums which is natural generalization of classical dyna...
A stochastic model with hidden discrete Markov processes is constructed to understand the behavior o...
2000 Mathematics Subject Classification: 60K10, 62P05.The compound Poisson risk models are widely us...
The jump distribution for the default intensities in a reduced form framework is modeled and calibra...
Affine jump-diffusion term structure models (AJTSMs) are recently receiving much attention in mathem...
Lam, Ho Man."August 2010."Thesis (M.Phil.)--Chinese University of Hong Kong, 2010.Includes bibliogra...
We consider a two factor interest rate model, where the volatility level follows continuous time fin...
AbstractIn this paper we consider a semimartingale model for the evolution of the price of a financi...
AbstractAn extension of the structural Merton’s model of risk of default is proposed. It is based on...
This paper proposes a convenient and generally applicable diagnostic m-test for checking the distrib...
We inspect the question how to adapt to macro-economical variables those probability of default (PD)...
We derive analytic expressions for the tail behavior of credit losses in a large homogeneous credit ...