Probabilistic Aspects of Default Risk Modeling
نویسندگان
چکیده
Various probabilistic techniques, which are used in the modeling of derivative securities (in particular, zero-coupon bonds) that are subject to default risk are presented in a systematic way. A large class of existing models of the defaultable term structure is covered by our analysis, in addition, some new ideas are presented.
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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