Default risk modeling with position-dependent killing
Year of publication: |
2013
|
---|---|
Authors: | Katz, Yuri A. |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 392.2013, 7, p. 1648-1658
|
Publisher: |
Elsevier |
Subject: | Credit risk | Default probability | Position-dependent dissipation |
-
Model and estimation risk in credit risk stress tests
Grundke, Peter, (2019)
-
Barnard, Brian, (2017)
-
Credit ratings and credit risk : is one measure enough?
Hilscher, Jens, (2017)
- More ...
-
Default risk modeling beyond the first-passage approximation: Position-dependent killing
Katz, Yuri A., (2011)
-
q-Gaussian distributions of leverage returns, first stopping times, and default risk valuations
Katz, Yuri A., (2013)
-
Katz, Yuri A., (2014)
- More ...