所属栏目:资本市场/市场有效性

On the Conditional Default Probability in a Regulated Market: A Structural Approach
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发布日期:2010年05月06日 上次修订日期:2010年05月06日

摘要

In this article, we consider a regulated market and explore the default events. By using a so-called reflected Ornstein-Uhlenbeck process with two-sided barriers to formulate the price dynamics, we derive the expression on the conditional default probability. In the cases of single observation and multiple observations, the conditional default probabilities are explicitly expressed in terms of the inverse Laplace transforms. Finally, we present a numerical simulation associated with the conditional default probability.
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Lijun Bo; Dan Tang; Yongjin Wang; Xuewei Yang On the Conditional Default Probability in a Regulated Market: A Structural Approach (2010年05月06日) https://www.cfrn.com.cn/lw/13169.html

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