مرکز منطقه ای اطلاع رساني علوم و فناوري - Interaction of credit and liquidity risks: Modelling and valuation

Title of article :

Interaction of credit and liquidity risks: Modelling and valuation

Author/Authors :

Harry Zheng، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2005

Pages :

From page :

391

To page :

407

Keywords :

Default risk , Liquidity risk , Structural and intensity models , Conditional independence , Calibrationwith two-stage optimization

Journal title :

Journal of Banking and Finance

Serial Year :

2005

Journal title :

Journal of Banking and Finance

Record number :

193826

Link To Document :