Credit Risk Modeling under Conditional Volatility
Year of publication: |
2014-04
|
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Authors: | Rohde, Johannes ; Sibbertsen, Philipp |
Institutions: | Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover |
Subject: | Credit risk | Merton model | conditional volatility | default probability | stylized facts |
Extent: | application/pdf |
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Series: | Hannover Economic Papers (HEP). - ISSN 0949-9962. |
Type of publication: | Book / Working Paper |
Notes: | 34 pages |
Classification: | C22 - Time-Series Models ; c58 ; G24 - Investment Banking; Venture Capital; Brokerage |
Source: |
-
Credit risk modeling under conditional volatility
Rohde, Johannes, (2014)
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Credit risk modeling under conditional volatility
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