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Default models: Distance to default - So-called default barrier models were devised to enforce consistency between credit spread or ratings-based and firm value-based estimates of default probability. Here, the authors use a continuous time framework to recast this methodology as a control problem, which is then implemented numerically.

Avellaneda, Marco; Zhu, Jingyi - In: Risk : managing risk in the world's financial markets 14 (2001) 12, pp. 125-130

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