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A structural approach to pricing credit default swaps with credit and debt value adjustments
structural approach credit default credit and debt value adjustments
2012/9/14
A multi-dimensional extension of the structural default model with rms' values driven by diusion processes with Marshall-Olkin-inspired correlation structure is presented. Semi-analytical methods fo...
Book Values and Market Values of Equity and Debt
Book values mean reverting return on assets equity valuation debt valuation default option structural models voluntary liquidation
2010/9/7
This paper proposes a contingent claims model to value a .rm.s debt and equity as functions of observable book values appearing in published .nancial statements. Equity fair value critically depends o...