1 / 34

MFIN 7011: Credit Risk Summer, 2008 Dragon Tang

Summer 08, MFIN7011, Tang. Structural Models. Structural Credit Risk Models. . Objectives:Essence of structural modelsMerton (1974) model and implementationPros and cons of structural models. Summer 08, MFIN7011, Tang. Structural Models. Building Blocks: Individual Defaultable Bond. . Defau

sawyer
Download Presentation

MFIN 7011: Credit Risk Summer, 2008 Dragon Tang

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript


    1. Summer 08, MFIN7011, Tang Structural Models MFIN 7011: Credit Risk Summer, 2008 Dragon Tang Lecture 5 Structural Credit Risk Models Tuesday, July 15, 2008 Readings: Chacko, Sjoman, Motohashi, and Dessain (2007) Chapter 3 Lando Chapter 2 & Duffie and Singleton Chapter 7

    2. Summer 08, MFIN7011, Tang Structural Models Structural Credit Risk Models

More Related