Grundke, Peter; Riedel, Karl O. - In: Review of Derivatives Research 7 (2004) 2, pp. 169-173
In their well-known article, Madan and Unal (1998) presented one of the first intensity-based credit risk models. In this approach the default intensity is directly linked to the market value of the firm's equity. In order to derive the probability of default Madan and Unal have to solve a...
