Introducing and testing the Carr model of default
Author:
Affiliation:
1. Department of Economics and Management, University of Florence, Via delle Pandette, 9, 50127 Florence, Italy
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2024.2368081
Reference60 articles.
1. A Structural Approach to Default Modelling with Pure Jump Processes
2. Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence
3. Design and Valuation of Debt Contracts
4. Bailey, W.N., Generalised Hypergeometric Series, 1935 (Cambridge University Press: London).
5. Normal Variance-Mean Mixtures and z Distributions
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