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- W2896880919 abstract "We propose a study of the pitfalls of the market widely used Poisson Default model in the Equity-Credit Hybrid land and show that a slight modification of the Constant Elasticity of Variance (CEV) model can, in addition to its well-known properties, capture the default event probability. Because of a need for more freedom between the volatility level, the skewness and the risk of default, we exhibit extensions of the CEV model adding stochasticity in the volatility." @default.
- W2896880919 created "2018-10-26" @default.
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- W2896880919 date "2005-01-01" @default.
- W2896880919 modified "2023-10-16" @default.
- W2896880919 title "Hybrid Equity-Credit Modelling" @default.
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