scholarly journals Counterparty Credit Risk in a Multivariate Structural Model with Jumps

2013 ◽  
Author(s):  
Laura Ballotta ◽  
Gianluca Fusai
Keyword(s):  
Credit Risk ◽  
Structural Model ◽  
Counterparty Credit Risk

scholarly journals Counterparty credit risk in a multivariate structural model with jumps

Finance ◽  
2015 ◽  
Vol 36 (1) ◽  
pp. 39 ◽  
Author(s):  
Laura Ballotta ◽  
Gianluca Fusai
Keyword(s):  
Credit Risk ◽  
Structural Model ◽  
Counterparty Credit Risk

A robust test of Merton's structural model for credit risk

2003 ◽  
Vol 6 (1) ◽  
pp. 39-58 ◽  
Author(s):  
Robert Jarrow ◽  
Donald van Deventer ◽  
Xiaoming Wang
Keyword(s):  
Credit Risk ◽  
Structural Model ◽  
Robust Test
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