Introducing and testing the Carr model of default
Federico Maglione
| Year of publication: |
2025
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|---|---|
| Authors: | Maglione, Federico |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 25.2025, 2, p. 269-290
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| Subject: | Additive processes | Credit risk | Default probabilities | Distance-to-default | Merton model | Kreditrisiko | Insolvenz | Insolvency | Optionspreistheorie | Option pricing theory | Wahrscheinlichkeitsrechnung | Probability theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2368081 [DOI] |
| Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G32 - Financing Policy; Capital and Ownership Structure ; G33 - Bankruptcy; Liquidation |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015534090