Default models: Distance to default - So-called default barrier models were devised to enforce consistency between credit spread or ratings-based and firm value-based estimates of default probability. Here, the authors use a continuous time framework to recast this methodology as a control problem, which is then implemented numerically.
| Year of publication: |
2001
|
|---|---|
| Authors: | Avellaneda, Marco ; Zhu, Jingyi |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 14.2001, 12, p. 125-130
|