Common ordinal models, including the ordered logit model and the continuation ratio model, are formulated by a common score (ie, a linear combination of given explanatory variables) plus rank-specific ...
In this work, we model the empirically observed recovery risk premium by adding an additional correlated risk driver to Merton’s model for pricing corporate bonds. This risk driver represents the ...
Traders in bonds and credit default swaps are bombarded with information on the default probabilities implied by credit spreads using a simple ratio. This ratio predicts that the credit spread will be ...
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