A structural approach to default modelling with pure jump processes
Year of publication: |
2021
|
---|---|
Authors: | Aguilar, Jean-Philippe ; Pesci, Nicolas ; James, Victor |
Subject: | credit risk | default probability | distance to default | gamma process | inverse gaussian process | Lévy process | one-sided process | variance gamma process | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Insolvenz | Insolvency | Wahrscheinlichkeitsrechnung | Probability theory | Statistische Verteilung | Statistical distribution |
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