Modelling default correlations in a two-firm model with dynamic leverage ratios

Carl Chiarella, Chi-Fai Lo and Ming Xi Huang

Year of publication:	2012
Authors:	Chiarella, Carl ; Lo, Chi-fai ; Ming Xi Huang
Publisher:	Sydney : Quantitative Finance Research Centre, Univ. of Techn.
Subject:	two-firm model \| default risk (probability) \| Ausfallrisiko \| Kreditrisiko \| Credit risk \| Kreditwürdigkeit \| Credit rating \| Insolvenz \| Insolvency \| Risiko \| Risk \| Theorie \| Theory

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