A structural approach to default modelling with pure jump processes
Jean-Philippe Aguilar, Nicolas Pesci and Victor James
| Year of publication: |
2021
|
|---|---|
| Authors: | Aguilar, Jean-Philippe ; Pesci, Nicolas ; James, Victor |
| Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 28.2021, 1, p. 48-78
|
| 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 |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2021.1957956 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012625981