On reduced-form intensity-based model with ‘trigger’ events
نویسندگان
چکیده
منابع مشابه
On reduced-form intensity-based model with 'trigger' events
Corporate defaults may be triggered by some major market news or events such as financial crises or collapses of major banks or financial institutions. With a view to develop a more realistic model for credit risk analysis, we introduce a new type of reduced-form intensity-based model that can incorporate the impacts of both observable “trigger” events and economic environment on corporate defa...
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ژورنال
عنوان ژورنال: Journal of the Operational Research Society
سال: 2014
ISSN: 0160-5682,1476-9360
DOI: 10.1057/jors.2013.99