A general formula for valuing defaultable securities

Econometrica

Volumn 72, Issue 5, 2004, Pages 1377-1407

  Collin Dufresne, P ^a   Goldstein, R ^b   Hugonnier, J ^c  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF MINNESOTA   (United States)

^c UNIVERSITY OF LAUSANNE   (Switzerland)

Author keywords

Absolutely continuous change of measures; Counterparty risk; Defaultable securities; Flight to quality; Risk adjusted discounting

Indexed keywords

ABSOLUTELY CONTINUOUS CHANGE OF MEASURES; COUNTERPARTY RISK; DEFAULTABLE SECURITIES; FLIGHT TO QUALITY; RISK-ADJUSTED DISCOUNTING;

COMPUTER SIMULATION; FINANCE; MATHEMATICAL MODELS; PROBABILITY; RESEARCH; RISK ASSESSMENT;

ECONOMIC AND SOCIAL EFFECTS;

EID: 4444347502     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1468-0262.2004.00538.x     Document Type: Article

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