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Flexing the Default Barrier

Dorfleitner, Gregor and Schneider, Paul and Veza, Tanja (2011) Flexing the Default Barrier. Quantitative Finance 11 (12), pp. 1729-1743.

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Item Type:Article
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Research groups and research centres:Immobilien- und Kapitalmärkte
C13, G12, G13, G15Journal of Economics Literature Classification
Keywords:credit default swap, structural model, default boundary, the Green function, calibration
Subjects:300 Social sciences > 330 Economics
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Deposited On:12 Mar 2010 12:44
Last Modified:21 Nov 2011 14:54
Item ID:13465
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