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- W2108793399 abstract "We propose and examine a simple model for credit migration and spread curves of a single firm both under real-world and risk-neutral measures. This model is a hybrid of a structural and a reduced-form model. Default is triggered either by successive downgradings of the firm or an unpredictable jump of the state process. The default time is accordingly decomposed into predictable and totally inaccessible part." @default.
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- W2108793399 date "2005-04-01" @default.
- W2108793399 modified "2023-09-27" @default.
- W2108793399 title "A simple model for credit migration and spread curves" @default.
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- W2108793399 doi "https://doi.org/10.1007/s00780-004-0140-9" @default.
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