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- W3122413404 abstract "Recently there has been some interest in the credit risk literature in models which involve stopping times related to excursions. The classical Black-Scholes-Merton-Cox approach postulates that default may occur, either at or before maturity, when the firm's value process falls below a critical threshold. In the excursion approach the duration of default, the time period from the financial distress announcement through its resolution, is explicitly modeled. In this contribution, we provide a review of the literature on excursion time models of credit risk. Moreover, we examine the effects on credit spreads structure of different specifications of the event that triggers default." @default.
- W3122413404 created "2021-02-01" @default.
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- W3122413404 date "2005-11-28" @default.
- W3122413404 modified "2023-09-27" @default.
- W3122413404 title "Valuing defaultable bonds: an excursion time approach" @default.
- W3122413404 hasPublicationYear "2005" @default.
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