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 4 of 4 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 …