کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
471300 698618 2007 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A model of credit risk based on cash flow
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
A model of credit risk based on cash flow
چکیده انگلیسی

An extension of the structural Merton’s model of risk of default is proposed. It is based on an analysis of possible sources of liquidity problems leading to bankruptcy. Pricing of a debt subject to default risk requires finding a value of an American put option, which is performed by a Monte-Carlo simulation of a discretisation of the underlying stochastic equations. This also allows an estimation of the probability of default.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computers & Mathematics with Applications - Volume 54, Issue 4, August 2007, Pages 499–506
نویسندگان
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