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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
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1. Summer 08, MFIN7011, Tang Structural Models MFIN 7011: Credit RiskSummer, 2008Dragon 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