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Probability of default and default correlations
Li, Weiping - In: Journal of risk and financial management : JRFM 9 (2016) 3, pp. 1-19
We consider a system where the asset values of firms are correlated with the default thresholds. We first evaluate the probability of default of a single firm under the correlated assets assumptions. This extends Merton’s probability of default of a single firm under the independent asset...
Persistent link: https://www.econbiz.de/10011543135
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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
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Estimating actual probability of default from structural models
Zou, Lin; Li, Weiping - In: International journal of financial engineering 9 (2022) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10013188686
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Nonparametric predictive inference for European option pricing based on the binomial tree model
He, Ting; Coolen, Frank P. A.; Coolen-Maturi, Tahani - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1692-1708
Persistent link: https://www.econbiz.de/10012214368