The art of probability-of-default curve calibration
نویسندگان
چکیده
منابع مشابه
Calibration of the default probability model
In this paper, we study the calibration problem for the Merton–Vasicek default probability model [Robert Merton, On the pricing of corporate debt: the risk structure of interest rate, Journal of Finance 29 (1974) 449–470]. We derive conditions that guarantee existence and uniqueness of the solution. Using analytical properties of the model, we propose a fast calibration procedure for the condit...
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A hybrid model for estimating the probability of default of corporate customers
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ژورنال
عنوان ژورنال: The Journal of Credit Risk
سال: 2013
ISSN: 1744-6619
DOI: 10.21314/jcr.2013.169