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The Global ETD Search service is a free service for researchers
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Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
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Showing 1 to 3 of 3 (0.047 seconds)Spelling suggestions: "subject:"default barrier"" "subject:"default carrier""
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Valuing credit risky bonds: generalizations of first passage modelsLoulit, Ahmed 13 September 2006 (has links)
This work develops some simple models to study risky corporate debt using first passage-time approach. Analytical valuation expression derived from different models as functions of firm’s values and the short-term interest rate with time-dependent parameters governing the dynamics of the firm values and interest rate. We develop some numerical approximation of the analytical valuation, which is given implicitly through Voltera integral equation related to the density of the first-passage- time that a firm reaches some specified default barrier. For some appropriate default barrier arising from financial considerations we obtain a closed-form solution, which is more flexible for numerical calculation.
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Valuing credit risky bonds: generalizations of first passage modelsLoulit, Ahmed 13 September 2006 (has links)
This work develops some simple models to study risky corporate debt using first passage-time approach. Analytical valuation expression derived from different models as functions of firm’s values and the short-term interest rate with time-dependent parameters governing the dynamics of the firm values and interest rate. We develop some numerical approximation of the analytical valuation, which is given implicitly through Voltera integral equation related to the density of the first-passage- time that a firm reaches some specified default barrier. For some appropriate default barrier arising from financial considerations we obtain a closed-form solution, which is more flexible for numerical calculation. / Doctorat en sciences de gestion / info:eu-repo/semantics/nonPublished
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Semi-analytische und simulative Kreditrisikomessung synthetischer Collateralized Debt Obligations bei heterogenen Referenzportfolios / Unternehmenswertorientierte Modellentwicklung und transaktionsbezogene Modellanwendungen / Semi-Analytical and Simulative Credit Risk Measurement of Synthetic Collateralized Debt Obligations with Heterogeneous Reference Portfolios / A Modified Asset-Value Model and Transaction-Based Model ApplicationsJortzik, Stephan 03 March 2006 (has links)
No description available.
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