Stochastic Volatility Effects on Defaultable Bonds
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References listed on IDEAS
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- Michael B. Gordy & SØren Willemann, 2012.
"Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models,"
INFORMS, vol. 58(3), pages 476-492, March.
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- Lotfaliei, Babak, 2018. "The variance risk premium and capital structure," ESRB Working Paper Series 70, European Systemic Risk Board.
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KeywordsFirst-passage structural approach; stochastic volatility; time scales; yield spreads; calibration;
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