Extending the Merton model with applications to credit value adjustment
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DOI: 10.1007/s10479-023-05289-3
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More about this item
Keywords
Finance; Structural credit risk; Merton model; Variance-gamma process; Credit value adjustment;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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