A novel structural model is developed to understand the determinants of green bond prices
and the so-called 'greenium', that is, the premium that bondholders are willing to pay to …

Credit risk is the distribution of financial losses due to unexpected changes in the credit
quality of a counterparty in a financial agreement. We review the structural, reduced form …

This chapter compares structural versus reduced‐form credit risk models from an information‐
based perspective. It demonstrates that these models are not disconnected and disjoint …

El objetivo de este artículo es evaluar críticamente los principales puntos débiles asociados
a las limitaciones de los estudios de investigación sobre predicción de quiebras financieras …

The recent accounting scandals at Enron, WorldCom, and Tyco were related to the
misrepresentation of liabilities. We provide a structural model of correlated multi-firm default …

In a traditional structural model of default it is implicitly assumed that the information used to
calibrate and run the model is publicly available. In reality, model inputs and parameters are …

Understanding Credit Derivatives and Related Instruments, Second Edition is an intuitive,
rigorous overview that links the practices of valuing and trading credit derivatives with …

Portfolio risk forecasting has been and continues to be an active research field for both
academics and practitioners. Almost all institutional investment management firms use …

This chapter empirically compares credit risk structural models of R. Merton and that of O.
Vasicek & S. Kealhofer (VK) and reduced model of J. Hull and A. White (HW). While doing …

A Merton Model of Credit Risk with Jumps Page 1 J. Stat. Appl. Pro. Lett. 2, No. 2, 97-103 (2015)
97 Journal of Statistics Applications & Probability Letters An International Journal http://dx.doi.org/10.12785/jsapl/020201 …