Esscher Algorithm for Default Probabilities
The article presents a new Esscher-based algorithm for determining default probabilities in structural credit risk models, providing a more accurate tail behavior than the traditional Merton model.
Featured in No. 55 on 3 Jul 2024 · 4 days after release
- Released
- 29 Jun 2024
- First featured
- No. 55 · 3 Jul 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4880705
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).