Credit Risk: Pricing, Measurement, and Management

By David Lando | Go to book overview
Contents
Prefacexi
1An Overview1
2Corporate Liabilities as Contingent Claims7
2.1Introduction7
2.2The Merton Model8
2.3The Merton Model with Stochastic Interest Rates17
2.4The Merton Model with Jumps in Asset Value20
2.5Discrete Coupons in a Merton Model27
2.6Default Barriers: the Black-Cox Setup29
2.7Continuous Coupons and Perpetual Debt34
2.8Stochastic Interest Rates and Jumps with Barriers36
2.9A Numerical Scheme when Transition Densities are Known40
2.10Towards Dynamic Capital Structure: Stationary Leverage Ratios41
2.11Estimating Asset Value and Volatility42
2.12On the KMV Approach48
2.13The Trouble with the Credit Curve51
2.14Bibliographical Notes54
3Endogenous Default Boundaries and Optimal Capital Structure59
3.1Leland’s Model60
3.2A Model with a Maturity Structure64
3.3EBIT-Based Models66
3.4A Model with Strategic Debt Service70
3.5Bibliographical Notes72
4Statistical Techniques for Analyzing Defaults75
4.1Credit Scoring Using Logistic Regression75
4.2Credit Scoring Using Discriminant Analysis77
4.3Hazard Regressions: Discrete Case81
4.4Continuous-Time Survival Analysis Methods83
4.5Markov Chains and Transition-Probability Estimation87
4.6The Difference between Discrete and Continuous93
4.7A Word of Warning on the Markov Assumption97

-vii-

Notes for this page

Add a new note
If you are trying to select text to create highlights or citations, remember that you must now click or tap on the first word, and then click or tap on the last word.
One moment ...
Project items

Items saved from this book

This book has been saved
Highlights (0)
Some of your highlights are legacy items.

Highlights saved before July 30, 2012 will not be displayed on their respective source pages.

You can easily re-create the highlights by opening the book page or article, selecting the text, and clicking “Highlight.”

Citations (0)
Some of your citations are legacy items.

Any citation created before July 30, 2012 will labeled as a “Cited page.” New citations will be saved as cited passages, pages or articles.

We also added the ability to view new citations from your projects or the book or article where you created them.

Notes (0)
Bookmarks (0)

You have no saved items from this book

Project items include:
  • Saved book/article
  • Highlights
  • Quotes/citations
  • Notes
  • Bookmarks
Notes
Cite this page

Cited page

Style
Citations are available only to our active members.
Sign up now to cite pages or passages in MLA, APA and Chicago citation styles.

(Einhorn, 1992, p. 25)

(Einhorn 25)

1

1. Lois J. Einhorn, Abraham Lincoln, the Orator: Penetrating the Lincoln Legend (Westport, CT: Greenwood Press, 1992), 25, http://www.questia.com/read/27419298.

Cited page

Bookmark this page
Credit Risk: Pricing, Measurement, and Management
Settings

Settings

Typeface
Text size Smaller Larger
Search within

Search within this book

Look up

Look up a word

  • Dictionary
  • Thesaurus
Please submit a word or phrase above.
Print this page

Print this page

Why can't I print more than one page at a time?

Full screen
/ 310

matching results for page

Cited passage

Style
Citations are available only to our active members.
Sign up now to cite pages or passages in MLA, APA and Chicago citation styles.

"Portraying himself as an honest, ordinary person helped Lincoln identify with his audiences." (Einhorn, 1992, p. 25).

"Portraying himself as an honest, ordinary person helped Lincoln identify with his audiences." (Einhorn 25)

"Portraying himself as an honest, ordinary person helped Lincoln identify with his audiences."1

1. Lois J. Einhorn, Abraham Lincoln, the Orator: Penetrating the Lincoln Legend (Westport, CT: Greenwood Press, 1992), 25, http://www.questia.com/read/27419298.

Cited passage

Welcome to the new Questia Reader

The Questia Reader has been updated to provide you with an even better online reading experience.  It is now 100% Responsive, which means you can read our books and articles on any sized device you wish.  All of your favorite tools like notes, highlights, and citations are still here, but the way you select text has been updated to be easier to use, especially on touchscreen devices.  Here's how:

1. Click or tap the first word you want to select.
2. Click or tap the last word you want to select.

OK, got it!

Thanks for trying Questia!

Please continue trying out our research tools, but please note, full functionality is available only to our active members.

Your work will be lost once you leave this Web page.

For full access in an ad-free environment, sign up now for a FREE, 1-day trial.

Already a member? Log in now.