结构-形式模型中的信用风险传播

IF 1.4 4区经济学 Q3 BUSINESS, FINANCE

SIAM Journal on Financial Mathematics Pub Date : 2021-01-01 DOI:10.1137/20m135340x

C. Fuh, C. Kao

引用次数: 1

摘要

已有的相关违约实证研究表明，企业违约会对其他企业产生影响;然而，这种影响尚未在理论上得到验证和量化，特别是在…

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Credit Risk Propagation in Structural-Form Models

Existing empirical studies on correlated defaults have shown that the default of a firm impacts other firms; however, this impact has yet to be theoretically validated and quantified, especially un...

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来源期刊

SIAM Journal on Financial Mathematics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-

CiteScore

2.30

自引率

10.00%

发文量

期刊介绍： SIAM Journal on Financial Mathematics (SIFIN) addresses theoretical developments in financial mathematics as well as breakthroughs in the computational challenges they encompass. The journal provides a common platform for scholars interested in the mathematical theory of finance as well as practitioners interested in rigorous treatments of the scientific computational issues related to implementation. On the theoretical side, the journal publishes articles with demonstrable mathematical developments motivated by models of modern finance. On the computational side, it publishes articles introducing new methods and algorithms representing significant (as opposed to incremental) improvements on the existing state of affairs of modern numerical implementations of applied financial mathematics.