Credit risk modeling under conditional volatility
Year of publication: |
2014
|
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Authors: | Rohde, Johannes ; Sibbertsen, Philipp |
Publisher: |
Hannover : Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät |
Subject: | Credit risk | Merton model | conditional volatility | default probability | stylized facts |
Series: | Diskussionsbeitrag ; 528 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 78373428X [GVK] hdl:10419/96675 [Handle] RePEc:han:dpaper:dp-528 [RePEc] |
Classification: | C22 - Time-Series Models ; c58 ; G24 - Investment Banking; Venture Capital; Brokerage |
Source: |
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