Probability of Default and Default Correlations
We consider a system where the asset values of firms are correlated with the default thresholds. We first evaluate the probability of default of a single firm under the correlated assets assumptions. This extends Merton’s probability of default of a single firm under the independent asset values ass...
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| Format: | Article |
| Language: | English |
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MDPI AG
2016-07-01
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| Series: | Journal of Risk and Financial Management |
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| Online Access: | http://www.mdpi.com/1911-8074/9/3/7 |