Explaining credit ratings through a perpetual-debt structural model
Gaia Barone
| Year of publication: |
2021
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|---|---|
| Authors: | Barone, Gaia |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 17.2021, 2, p. 1-25
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| Subject: | structural credit risk models | endogenous default boundary | first-touch digital options | stochastic equity volatility | model calibration | credit default swaps | Kreditrisiko | Credit risk | Kreditderivat | Credit derivative | Optionspreistheorie | Option pricing theory | Kreditwürdigkeit | Credit rating | Stochastischer Prozess | Stochastic process | Finanzdienstleistung | Financial services | Volatilität | Volatility | Insolvenz | Insolvency | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCR.2021.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012671409