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A quantitative approach to assessing sovereign default risk in resource-rich emerging economies

Nyambuu, Unurjargal; Bernard, Lucas - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 220-241

Persistent link: https://www.econbiz.de/10011348413

A structural approach to default modelling with pure jump processes

Aguilar, Jean-Philippe; Pesci, Nicolas; James, Victor - In: Applied mathematical finance 28 (2021) 1, pp. 48-78

Persistent link: https://www.econbiz.de/10012625981

Distance to default based on the CEV-KMV model

Su, Wen - In: Journal of risk 24 (2022) 6, pp. 45-60

Persistent link: https://www.econbiz.de/10013549670

Estimation of default risk through Merton's distance to default model : an empirical study of four Indian Public Sector banks

Bendigeri, Raghavendra S. - In: International journal of business and globalisation : IJBG 37 (2024) 4, pp. 535-554

Persistent link: https://www.econbiz.de/10015063989

A simple method for extracting the probability of default from American put option prices

Chang, Bo Young; Orosi, Greg - 2020 - Last updated: April 20, 2020

In this paper, we present a novel method to extract the risk-neutral probability of default of a firm from American put option prices. Building on the idea of a default corridor proposed in Carr and Wu (2011), we derive a parsimonious closed-form formula for American put option prices from which...

Persistent link: https://www.econbiz.de/10012216226