A New Default Probability Calculation Formula and Its Application under Uncertain Environments
In the real world, corporate defaults will be affected by both external market shocks and counterparty risks. With this in mind, we propose a new default intensity model with counterparty risks based on both external shocks and the internal contagion effect. The effects of the external shocks and in...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2018-01-01
|
| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2018/3481863 |