An alternative way of estimating asset values and asset value correlations

Journal of Fixed Income

Volumn 21, Issue 2, 2011, Pages 30-38

  Byström, Hans ^a  

^a LUND UNIVERSITY   (Sweden)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 80053478414     PISSN: 10598596     EISSN: None     Source Type: Journal    
DOI: 10.3905/jfi.2011.21.2.030     Document Type: Article

References (13)

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9. Li, D. "On Default Correlation: A Copula Function Approach." The Journal of Fixed Income, 9 (2000), pp. 43-54.
10. Lopez, J.A."The Empirical Relationship between Average Asset Correlation, Firm Probability of Default and Asset Size." Journal of Financial Intermediation, 13 (2004), pp. 265-283. (Pubitemid 38530631)
11. Merton, R. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates." Journal of Finance, 2 (1974), pp. 449-470.
12. Zeng, B., and J. Zhang. "Modeling Credit Correlation: Equity Correlation Is Not Enough!" Moody's KMV Company, 2001.
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