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In this paper we formulate a corporate bond (CB) pricing model for deriving the term structure of default probabilities (TSDP) and the recov-ery rate (RR) for each pair of industry factor and credit r...
A three-dimensional extension of the structural default model with rms' values driven by correlated di usion processes is presented. Green's function based semi-analytical methods for solving the for...
A multi-dimensional extension of the structural default model with rms' values driven by di usion processes with Marshall-Olkin-inspired correlation structure is presented. Semi-analytical methods fo...
In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the interacting intensi...
We compare two different bilateral counterparty valuation adjustment (BVA) formulas. The first formula is an approximation and is based on subtracting the two unilateral Credit Valuation Adjustment ...
In this paper we are concerned with backward stochastic differential equations with random default time and their applications to default risk.The equations are driven by Brownian motion as well as a ...

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