Valuing risky debt: A new model combining structural information with the reduced-form approach
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Cantia, Catalin & Tunaru, Radu, 2017. "A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 21-35.
- Mario Mustilli & Francesco Campanella & Eugenio Dâ€™Angelo, 2017. "Basel III and Credit Crunch: An Empirical Test with Focus on Europe," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(3), pages 1-3.
- Hyong-Chol O. & Jong-Chol Kim & Il-Gwang Jon, 2017. "Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon," Papers 1709.06517, arXiv.org.
More about this item
KeywordsDefault risk; Credit spread; Default intensity; Reduced-form model; Hybrid model; Structural model;
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