Search Results - subject:"Jump to Default"

A general framework for incorporating stochastic recovery in structural models of credit risk

Cohen, Albert; Costanzino, Nick - In: Risks 5 (2017) 4, pp. 1-19

In this work, we introduce a general framework for incorporating stochastic recovery into structural models. The framework extends the approach to recovery modeling developed in Cohen and Costanzino (2015, 2017) and provides for a systematic way to include different recovery processes into a...

Persistent link: https://www.econbiz.de/10011996559

A general framework for incorporating stochastic recovery in structural models of credit risk

Cohen, Albert; Costanzino, Nick - In: Risks : open access journal 5 (2017) 4, pp. 1-19

Persistent link: https://www.econbiz.de/10011783786

Assessing Credit with Equity: A CEV Model with Jump to Default

Campi, Luciano; Polbennikov, Simon; Sbuelz - Dipartimento di Scienze Economiche, Facoltà di Economia - 2005

of a carefully specified pricing kernel, we also enable analytical credit-risk management under possibly systematic jump-to-default …

Persistent link: https://www.econbiz.de/10005418859

Assessing Credit with Equity: A CEV Model with Jump to Default

Campi, Luciano; Polbennikov, Simon; Sbuelz - Dipartimento di Scienze Economiche, Facoltà di Economia - 2005

of a carefully specified pricing kernel, we also enable analytical credit-risk management under possibly systematic jump-to-default …

Persistent link: https://www.econbiz.de/10011265774

Assessing Credit with Equity : A CEV Model with Jump to Default

Campi, L.; Polbennikov, S.Y.; Sbuelz, A. - Tilburg University, Center for Economic Research - 2005

analytic credit-risk management possible under systematic jump-to-default risk. …

Persistent link: https://www.econbiz.de/10011090897