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A Merton Model of Credit Risk with Jumps
Journal of Statistics Applications and Probability Letters 2 (2):97-103 (2015)
Abstract
In this note, we consider a Merton model for default risk, where the firm’s value is driven by a Brownian motion and a compound Poisson process.Author's Profile
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2018-06-01
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2018-06-01
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560 (#27,851)
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