CreditRisk
Evaluation of Credit Risk with Structural and Reduced Form Models
v0.1.7
·
Apr 19, 2024
·
MIT + file LICENSE
Description
Evaluation of default probability of sovereign and corporate entities based on structural or intensity based models and calibration on market Credit Default Swap quotes. References: Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013) <doi:10.1002/9781118818589>. Print ISBN: 9780470748466, Online ISBN: 9781118818589. © 2013 John Wiley & Sons Ltd.
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