The Structural Approach to Credit Risk

1999 ◽  
Vol 1999 (4) ◽  
pp. 36-46
Author(s):  
Hayne E. Leland
Keyword(s):  
Credit Risk ◽  
Structural Approach

Investment and Credit Risk: A Structural Approach

2007 ◽  
Author(s):  
Andrea Gamba ◽  
Mamen Maria Aranda ◽  
Daniele Poiega
Keyword(s):  
Credit Risk ◽  
Structural Approach

scholarly journals Present value of firm asset in case of correlated defaults: a generalized structural approach of credit risk

2007 ◽  
Vol 47 ◽  
Author(s):  
Mantas Valužis
Keyword(s):  
Credit Risk ◽  
Financial Market ◽  
Structural Approach ◽  
Present Value ◽  
Brownian Motions ◽  
Value Of Firm ◽  
Correlated Defaults ◽  
Geometric Brownian Motions ◽  
The Impact ◽  
Implied Correlation

This article investigatesthe present value of a firm’s asset in the case of n \geq 2 correlateddefaults. The structural approach of credit risk is developed in the case when default boundaries follow geometric Brownian motions. Correlated defaults are defined by the implied correlation of Brownian motions. The operational risk and the risk of financial market changes are allowed in this model. Also, the impact of implied correlation to the present value of firm’s asset is shown numerically.

Structural approach to instructional problems.

1977 ◽  
Vol 32 (1) ◽  
pp. 33-53 ◽  
Author(s):  
Joseph M. Scandura
Keyword(s):  
Structural Approach

Review of Statistical Thinking: A Structural Approach.

1974 ◽  
Vol 19 (1) ◽  
pp. 58-58
Author(s):  
B. J. WINER
Keyword(s):  
Structural Approach ◽  
Statistical Thinking
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