The Optimal Analysis of Default Probability for a Credit Risk Model
Joint Authors
Wang, Yang
Zeng, Weili
Wang, Aiyin
Yong, Ls
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-03-17
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
A credit risk mathematical model is investigated.
Under regular conditions, a different recovery scheme is proposed, which is an extension of the recovery of treasury value scheme ( RTV ) with time-continuous liquidation.
Assuming that a function depends on the optimal time for the liquidation and the recovery rate, we obtain the functional expression of the risky bond price.
When the firm value follows a jump-diffusion process with a Log-exponentially distributed jump, we develop a method to obtain the optimal default probability with time-continuous liquidation.
American Psychological Association (APA)
Wang, Aiyin& Yong, Ls& Zeng, Weili& Wang, Yang. 2014. The Optimal Analysis of Default Probability for a Credit Risk Model. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-1034067
Modern Language Association (MLA)
Wang, Aiyin…[et al.]. The Optimal Analysis of Default Probability for a Credit Risk Model. Abstract and Applied Analysis No. 2014 (2014), pp.1-9.
https://search.emarefa.net/detail/BIM-1034067
American Medical Association (AMA)
Wang, Aiyin& Yong, Ls& Zeng, Weili& Wang, Yang. The Optimal Analysis of Default Probability for a Credit Risk Model. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-1034067
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1034067