Models of corporate and bank default and credit migration
This thesis presents three studies on credit risk modelling. The first study compares the real default probabilities produced by three main structural models of default, Merton model, Longstaff and Schwartz model and Leland and Toft model, to the observed real default probabilities reported by Moody...
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City University London
2007
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.492326 |