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Persistent link: https://www.econbiz.de/10003870282
This paper provides an alternative approach to Duffie and Lando (2001) for obtaining a reduced form credit risk model from a structural model. Duffie and Lando obtain a reduced form model by constructing an economy where the market sees the manager's information set plus noise. The noise makes...
Persistent link: https://www.econbiz.de/10013089682