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  • Search: subject:"and Credit Risk: Towards a Theory of Default Correlation"
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Year of publication
Subject
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Asset Pricing 1 Debt Financing 1 Diversified Capital Assets 1 Dynamical System 1 Firm Value 1 Structured Finance 1 and Credit Risk: Towards a Theory of Default Correlation 1
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Type of publication
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Book / Working Paper 1
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Undetermined 1
Author
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Bernard, Lucas 1 Grüne, Lars 1 Semmler, Willi 1
Institution
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Society for Computational Economics - SCE 1
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Computing in Economics and Finance 2006 1
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RePEc 1
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Firm Value and Default Correlation
Grüne, Lars; Semmler, Willi; Bernard, Lucas - Society for Computational Economics - SCE - 2006
Following the lead of Merton (1974), recent research has focused on the relationship of credit risk to firm value. Although this has usually been done for a single firm, the growth of structured finance, which necessarily involves the correlation between included securities, has spurred interest...
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