Modelling default risk with occupation times
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References listed on IDEAS
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"Liquidation triggers and the valuation of equity and debt,"
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- repec:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500467 is not listed on IDEAS
- Roman N. Makarov, 2016. "Modeling liquidation risk with occupation times," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 1-11, December.
- Guérin, Hélène & Renaud, Jean-François, 2017. "On the distribution of cumulative Parisian ruin," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 116-123.
More about this item
KeywordsOccupation time; Credit risk; Merton model; Black–Cox model; Structural models;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G19 - Financial Economics - - General Financial Markets - - - Other
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
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