Structural Approach of Credit Risk with Jump Diffusion Process: Credit Risk Models & Application - Brossura
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"Structural Approach of Credit Risk with Jump Diffusion Process" proposes three essays in the modelling of the firm's asset value as a jump diffusion process within the structural approach of credit risk. The first essay deals with the modelling of a perpetual coupon debt structure using two different jump diffusion processes: double exponential and uniform. The second models a debt structure of roll-over perpetual, where the firm's asset value follows a double exponential jump diffusion process. The third develops a model with zero coupon debt structure, and takes into account a stopping time marked by an important negative jump. In our essays, we obtain almost closed form formulae for the debt, equity and firm values, as well as the endogenous default barrier and credit spreads. Levels of credit spreads obtained are closer to the market data and confirm the existence of an optimal capital structure, which takes into account the risk free rate, pay-out ratio, firm risk, tax rate, default costs, and jump intensity & sizes.These essays are designed to provide academic and practitioners with useful and insightful knowledge of credit risk, default event as well as credit spreada.
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Informazioni sull?autore
Dr. DAO Thanh Binh obtained her Doctorate in Finance at University Paris Dauphine - France. Head of Financial Department, FMT, Hanoi University - Vietnam. Lecturer in Corporate Finance, Bank Management & Econometrics. Local Coordinator for SFI, CIIA Diploma. Member of SECO & SBV Project on Vietnamese Banking Strategy.
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Structural Approach of Credit Risk with Jump Diffusion Process
Editore:
LAP LAMBERT Academic Publishing Jul 2011, 2011
ISBN 10: 3845409061
ISBN 13: 9783845409061
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Structural Approach of Credit Risk with Jump Diffusion Process proposes three essays in the modelling of the firm s asset value as a jump diffusion process within the structural approach of credit risk. The first essay deals with the modelling of a perpetual coupon debt structure using two different jump diffusion processes: double exponential and uniform. The second models a debt structure of roll-over perpetual, where the firm s asset value follows a double exponential jump diffusion process. The third develops a model with zero coupon debt structure, and takes into account a stopping time marked by an important negative jump. In our essays, we obtain almost closed form formulae for the debt, equity and firm values, as well as the endogenous default barrier and credit spreads. Levels of credit spreads obtained are closer to the market data and confirm the existence of an optimal capital structure, which takes into account the risk free rate, pay-out ratio, firm risk, tax rate, default costs, and jump intensity & sizes.These essays are designed to provide academic and practitioners with useful and insightful knowledge of credit risk, default event as well as credit spreada. 180 pp. Englisch. Codice articolo 9783845409061
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Structural Approach of Credit Risk with Jump Diffusion Process
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ISBN 13: 9783845409061
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Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: DAO Thanh BinhDr. DAO Thanh Binh obtained her Doctorate in Finance at University Paris Dauphine - France. Head of Financial Department, FMT, Hanoi University - Vietnam. Lecturer in Corporate Finance, Bank Management & Econometrics. L. Codice articolo 5480962
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Structural Approach of Credit Risk with Jump Diffusion Process | Credit Risk Models & Application
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LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3845409061
ISBN 13: 9783845409061
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Taschenbuch. Condizione: Neu. Structural Approach of Credit Risk with Jump Diffusion Process | Credit Risk Models & Application | Thanh Binh Dao | Taschenbuch | 180 S. | Englisch | 2011 | LAP LAMBERT Academic Publishing | EAN 9783845409061 | Verantwortliche Person für die EU: BoD - Books on Demand, In de Tarpen 42, 22848 Norderstedt, info[at]bod[dot]de | Anbieter: preigu. Codice articolo 106906355
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Structural Approach of Credit Risk with Jump Diffusion Process
Editore:
LAP LAMBERT Academic Publishing Jul 2011, 2011
ISBN 10: 3845409061
ISBN 13: 9783845409061
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Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -'Structural Approach of Credit Risk with Jump Diffusion Process' proposes three essays in the modelling of the firm's asset value as a jump diffusion process within the structural approach of credit risk. The first essay deals with the modelling of a perpetual coupon debt structure using two different jump diffusion processes: double exponential and uniform. The second models a debt structure of roll-over perpetual, where the firm's asset value follows a double exponential jump diffusion process. The third develops a model with zero coupon debt structure, and takes into account a stopping time marked by an important negative jump. In our essays, we obtain almost closed form formulae for the debt, equity and firm values, as well as the endogenous default barrier and credit spreads. Levels of credit spreads obtained are closer to the market data and confirm the existence of an optimal capital structure, which takes into account the risk free rate, pay-out ratio, firm risk, tax rate, default costs, and jump intensity & sizes.These essays are designed to provide academic and practitioners with useful and insightful knowledge of credit risk, default event as well as credit spreada.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 180 pp. Englisch. Codice articolo 9783845409061
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Structural Approach of Credit Risk with Jump Diffusion Process : Credit Risk Models & Application
Editore:
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3845409061
ISBN 13: 9783845409061
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Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Structural Approach of Credit Risk with Jump Diffusion Process proposes three essays in the modelling of the firm s asset value as a jump diffusion process within the structural approach of credit risk. The first essay deals with the modelling of a perpetual coupon debt structure using two different jump diffusion processes: double exponential and uniform. The second models a debt structure of roll-over perpetual, where the firm s asset value follows a double exponential jump diffusion process. The third develops a model with zero coupon debt structure, and takes into account a stopping time marked by an important negative jump. In our essays, we obtain almost closed form formulae for the debt, equity and firm values, as well as the endogenous default barrier and credit spreads. Levels of credit spreads obtained are closer to the market data and confirm the existence of an optimal capital structure, which takes into account the risk free rate, pay-out ratio, firm risk, tax rate, default costs, and jump intensity & sizes.These essays are designed to provide academic and practitioners with useful and insightful knowledge of credit risk, default event as well as credit spreada. Codice articolo 9783845409061
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