New Structural Approach and Default Risk
2012; RELX Group (Netherlands); Linguagem: Inglês
10.2139/ssrn.2053377
ISSN1556-5068
Autores Tópico(s)Banking stability, regulation, efficiency
ResumoThis paper investigates and developed credit risk models. Specifically, it focuses on the Merton model, its extensions model and the way to survey new structural approach. First, this paper describes Merton model. Second, reviews the first-passage model along with more focus on default point. Third, considers on the new structural approach which has been believe that if the firm’s value passes the threshold level b, the firm’s value will continue unless the value process crosses and spends an exogenous quantity of time Ҍ below. We want to develop Yildiray Yildirim model with focus on Parisian option.
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