Default risk modeling with position-dependent killing
نویسندگان
چکیده
منابع مشابه
Modeling Default Risk Modeling
Default risk is the uncertainty surrounding a firm's ability to service its debts and obligations. Prior to default, there is no way to discriminate unambiguously between firms that will default and those that won't. At best we can only make probabilistic assessments of the likelihood of default. As a result, firms generally pay a spread over the default-free rate of interest that is proportion...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2013
ISSN: 0378-4371
DOI: 10.1016/j.physa.2012.11.059