Credit gap risk in a first passage time model with jumps
Year of publication: |
2009
|
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Authors: | Packham, Natalie ; Schlögl, Lutz ; Schmidt, Wolfgang M. |
Institutions: | Frankfurt School of Finance and Management |
Subject: | gap risk | credit spreads | credit dynamics | first passage time models | stochastic volatility | general Ornstein-Uhlenbeck processes |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 22 |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G24 - Investment Banking; Venture Capital; Brokerage ; C69 - Mathematical Methods and Programming. Other |
Source: |
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Credit gap risk in a first passage time model with jumps
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Credit gap risk in a first passage time model with jumps
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