Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
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More about this item
KeywordsCumulative default probability; Structural model; Jump-diffusion; Endogenous capital structure; Esscher transform; Kou processes; G32; G33;
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
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