An Extended Structural Credit Risk Model (forthcoming in the Icfai Journal of Financial Risk Management; all copyrights rest with the Icfai University Press)
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More about this item
Keywordsstructural credit risk model; Vasicek model; Gaussian term structure model; bond pricing; credit default swap pricing; unexpected default; liquidity risk.;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-09-30 (All new papers)
- NEP-BAN-2007-09-30 (Banking)
- NEP-CFN-2007-09-30 (Corporate Finance)
- NEP-RMG-2007-09-30 (Risk Management)
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