Interaction of credit and liquidity risks: Modelling and valuation

Journal of Banking and Finance

Volumn 30, Issue 2, 2006, Pages 391-407

  Zheng, Harry ^a  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Calibration with two stage optimization; Conditional independence; Default risk; Liquidity risk; Structural and intensity models

Indexed keywords

EID: 32944474726     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.04.026     Document Type: Article

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