Calibration of the default probability model

European Journal of Operational Research

Volumn 185, Issue 3, 2008, Pages 1462-1476

  Kreinin, Alexander ^a   Nagi, Ahmed ^a  

^a Algorithmics Inc   (Canada)

Author keywords

Calibration; Credit risk; Default probability; Merton Vasicek model

Indexed keywords

INTEGRATED CONTROL; MATHEMATICAL MODELS; NONLINEAR EQUATIONS; PROBLEM SOLVING; RISK ASSESSMENT;

CREDIT RISK; DEFAULT PROBABILITY; MERTON-VASICEK MODELS;

PROBABILITY DISTRIBUTIONS;

EID: 34848861379     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2004.11.029     Document Type: Article

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