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Default Bayesian Analysis for the Multivariate Ewens Distribution
Bayesian Analysis Multivariate Ewens Distribution
2012/11/22
We derive the Jeffreys prior for the parameter of the Multivariate Ewens Distribution and study some of its properties. In particular, we show that this prior is proper and has no finite moments. We a...
This paper develops a structural credit risk model to characterize the difference between the economic and recorded default times for a firm.
American Step-Up and Step-Down Credit Default Swaps under Levy Models
optimal stopping credit default swaps step-up and step-down options
2011/3/2
This paper studies the valuation of a class of credit default swaps (CDSs) with the embedded
option to switch to a different premium and notional principal anytime prior to a credit event.
Credit Default Swaps Liquidity modeling: A survey
Credit Default Swaps Liquidity spread Liquidity Premium Credit Liquidity correlation Liquidity pricing Intensity models Reduced Form Models Capital AssetPricing Model Credit Crisis Liquidity Crisis
2010/4/27
We review different approaches for measuring the impact of liquidity on CDS prices. We start with reduced form models incorporating liquidity as an additional discount rate. We review Chen, Fabozzi an...
Default Risk Modeling Beyond the First-Passage Approximation. I. Extended Black-Cox Model
Default Risk Modeling First-Passage Approximation Black-Cox Model
2010/4/27
We develop a generalization of the Black-Cox structural model of default risk. The extended model captures uncertainty related to firms ability to avoid default even if companys liabilities momentaril...
A model-insensitive determination of First-hitting-time densities with Application to Equity default-swaps
First-hitting-time densities Equity default-swaps
2010/4/27
Equity default-swaps pay the holder a fixed amount of money when the underlying spot level touches a (far-down) barrier during the life of the instrument. While most pricing models give reasonable res...