Credit risk modeling using time-changed brownian motion

International Journal of Theoretical and Applied Finance

Volumn 12, Issue 8, 2009, Pages 1213-1230

  Hurd, T R ^a  

^a MCMASTER UNIVERSITY   (Canada)

Author keywords

Credit derivative; Credit risk; Default probability; First passage time; L vy process; Structural credit model; Time change

Indexed keywords

EID: 75649092635     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024909005646     Document Type: Article

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