Showing 1 - 2 of 2
Persistent link: https://www.econbiz.de/10011663259
We develop a structural model that incorporates both macroeconomic risks and firm-specific jump risks. Using this model, we derive analytic formulas for default probability, equity price, and CDS spreads. We show that including the two types of risk in credit risk modeling can generate better...
Persistent link: https://www.econbiz.de/10013007663