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Structural Credit Risk Modeling: Merton and Beyond
yu_wang@manulife.com. c H a i R s P e R s o n ’ s c o R n e RR i s k Q U a n t i F i c at i o n which ... which are used in (11) to determine credit spread s. term Structure of creDit SPreaDS unDer merton moDel ...- Authors: YU WANG
- Date: Jun 2009
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Enterprise Risk Management; Modeling & Statistical Methods