نتایج جستجو برای: default probability
تعداد نتایج: 238430 فیلتر نتایج به سال:
One of the main problems in credit risk management is the correlated default. In large portfolios, computing the default dependencies among issuers is an essential part in quantifying the portfolio's credit. The most important problems related to credit risk management are understanding the complex dependence structure of the associated variables and lacking the data. This paper aims at introdu...
We consider the problem of modelling the term structure of bonds subject to default risk, under minimal assumptions on the default time. In particular, we do not assume the existence of a default intensity and we therefore allow for the possibility of default at predictable times. It turns out that this requires the introduction of an additional term to the forward-rate approach by Heath, Jarro...
Default risk model is provided by using option pricing theory in a fuzzy framework in consideration of a simple company comprised of a single type of the debt that is free from profit payment and a single type of capital that is liberated from dividend. The model is based on the assumption that asset value of a company is the sum of total market value of stock and debt value, considering a situ...
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