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Author Cheng, Lan ♦ Chen, Xinfu ♦ Chadam, John ♦ Saunders, David
Source CiteSeerX
Content type Text
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Subject Domain (in DDC) Computer science, information & general works ♦ Data processing & computer science
Subject Keyword First-crossing Boundary Problem ♦ Numerical Computation ♦ Credit Risk Management ♦ Asset Value ♦ Inverse First-crossing Problem ♦ Structural Model
Abstract In this paper, we study the inverse first-crossing problem. This problem originates from the Merton’s structural model [7] for credit risk management, derived as follows. Consider a company whose asset value and debt at time t ≥ 0 are denoted by A(t) and D(t) respectively. Assume the following:
Educational Role Student ♦ Teacher
Age Range above 22 year
Educational Use Research
Education Level UG and PG ♦ Career/Technical Study