Fischer, Edwin O.; Kampl, Lisa-Maria; Wöckl, Ines - In: Credit and capital markets : Kredit und Kapital 56 (2023) 3/4, pp. 287-312
payments subject to default risk. We use a discrete risk-neutral present value model with expected payments for risk …-neutral investors and risk-free spot rates for the valuation. The expected payments include the potentiality of default by weighting … promised payments the risk-neutral default probabilities. The required risk-neutral default probabilities are derived from …
