Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 5 of 5 for “"Default Correlation"”.
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Three essays on corporate default prediction : special reference to corporate governance, default correlation and capital structure dynamics
… of three essays that investigate corporate defaults connected to corporate governance, default correlations and capital structure adjustment. Granting a loan requires mutual trust between lenders and borrower and depends on the flow of information. The relevance and the accuracy of the …
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Term structures of conditional probabilities of corporate default in an incomplete information setting
… and provide their holders a protection against default, the importance of estimating probabilities of default has reached an unprecedented level. We have developed a Bayesian model to estimate term structures of conditional probabilities of corporate default, in an incomplete information …
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Essays in credit derivatives
… we propose a novel method to extract asset correlations from credit derivatives. Default correlation is a concern especially after witnessing the financial crisis. To find default correlations, we would like to know asset correlations which are unobservable. We derive a model to infer asset …
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First passage time problem for multivariate jump-diffusion processes: Models, computation, and applications in finance
… for which we attempt to evaluate their dependent defaults. In particular, we consider a situation where individual companies are linked together via certain economic conditions, so the default events of companies are correlated. This is usually the case, for example, when the companies are in the …