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Calibration of structural and reduced-form recovery models
Credit risk Loss distribution Reduced–form models Structural models Value at Risk Expected Tail Loss Stochastic processes
2011/3/23
In recent years research on credit risk modelling has mainly focused on default probabilities. Recovery rates are usually modelled independently, quite often they are even assumed constant.
Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
Credit Default Swaps StructuralModels Black Cox Model, Calibration
2010/11/3
In this paper we develop structural first passage models (AT1P and SBTV)with time-varying volatility and characterized by high tractability, moving from the original work of Brigo and Tarenghi (2004, ...
In this work we develop a tractable structural model with analytical default probabilities depending on a random default barrier and possibly random volatil-ity ideally associated with a scenario base...