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 ...
Default project is now your active project.
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.
Buy instant access to cite pages or passages in MLA, APA and Chicago citation styles.

(Einhorn, 1992, p. 25)

(Einhorn 25)

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
Table of contents

Table of contents

Settings

Settings

Typeface
Text size Smaller Larger Reset View mode
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?

Help
Full screen
/ 310

matching results for page

    Questia reader help

    How to highlight and cite specific passages

    1. Click or tap the first word you want to select.
    2. Click or tap the last word you want to select, and you’ll see everything in between get selected.
    3. You’ll then get a menu of options like creating a highlight or a citation from that passage of text.

    OK, got it!

    Cited passage

    Style
    Citations are available only to our active members.
    Buy instant access 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

    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.

    Buy instant access to save your work.

    Already a member? Log in now.

    Author Advanced search

    Oops!

    An unknown error has occurred. Please click the button below to reload the page. If the problem persists, please try again in a little while.