Search Results - subject:"structural default model"

Lipton, Alexander - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-37

Persistent link: https://www.econbiz.de/10012284595

Itkin, Andrey; Lipton, Alexander - In: Review of derivatives research 20 (2017) 1, pp. 15-46

Persistent link: https://www.econbiz.de/10011930552

Kao, Lie-Jane; Wu, Po-cheng; Chen, Tai-yuan - In: The international journal of business and finance … 6 (2012) 2, pp. 83-96

Persistent link: https://www.econbiz.de/10009389671

Kao, Lie-Jane; Wu, Po-Cheng; Chen, Tai-Yuan - In: The International Journal of Business and Finance Research 6 (2012) 1, pp. 83-96

drivers of the rollover risk. In this paper, we develop a structural default model based on Leland (1994), in which default is …

Persistent link: https://www.econbiz.de/10011206071