Modeling Credit Risk in the Default Threshold Framework
The default threshold framework for credit risk modeling developed by Garreau and Kercheval [SIAM Journal on Financial Mathematics, 7:642-673, 2016] enjoys the advantages of both the structural form models and the reduced form models, including excellent analytical tractabili...
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| Format: | Others |
| Language: | English English |
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Florida State University
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| Online Access: | http://purl.flvc.org/fsu/fd/FSU_FA2016_Chiu_fsu_0071E_13584 |