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~subject:"Insolvency"
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Insolvency
First passage time
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ECONIS (ZBW)
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A stochastic-volatility equity-price tree for pricing convertible bonds with endogenous firm values and default risks determined by the
first-passage
default model
Dai, Tian-Shyr
;
Fan, Chen-Chiang
;
Liu, Liang-Chih
; …
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2103-2134
Persistent link: https://www.econbiz.de/10013465872
Saved in:
2
Probability of default and default correlations
Li, Weiping
- In:
Journal of risk and financial management : JRFM
9
(
2016
)
3
,
pp. 1-19
formula for the default correlation via the correlated multivariate process of the
first-passage
-time default correlation …
Persistent link: https://www.econbiz.de/10011543135
Saved in:
3
An improved approach to evaluate default probabilities and default correlations with consistency
Li, Weiping
;
Krehbiel, Timothy L.
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011525108
Saved in:
4
Dynamic optimal capital structure with regime switching
Elliott, Robert J.
;
Shen, Jia
- In:
Annals of finance
11
(
2015
)
2
,
pp. 199-220
Persistent link: https://www.econbiz.de/10011376180
Saved in:
5
The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default
Spencer, Peter D.
- In:
Finance research letters
11
(
2014
)
1
,
pp. 8-15
Persistent link: https://www.econbiz.de/10010393638
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