Hazard rate for credit risk and hedging defaultable contingent claims.
Christophette Blanchet-ScallietMonique JeanblancPublished in: Finance Stochastics (2004)
Keyphrases
- sensitivity analysis
- credit risk
- hazard rate
- exchange rate
- convertible bonds
- credit risk evaluation
- evaluation method
- risk analysis
- credit scoring
- commercial banks
- listed companies
- financial data
- random variables
- risk management
- support vector machine svm
- option pricing
- conditionally independent
- long run
- credit card
- evaluation model
- logistic regression