The Optimal Analysis of Default Probability for a Credit Risk Model
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...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/878306 |
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