Applying default probabilities in an exponential barrier structural model
Arianna Agosto and
Enrico Moretto ()
Economics and Quantitative Methods from Department of Economics, University of Insubria
This paper shows that the use of a time-dependant barrier in a structural model improve its flexibility because it allows to incorporate, as input, the probability of default. The main result achieved is the assessment that the default barrier is, indeed,characterized by a non flat structure. JEL Classification: G13, G33
Keywords: default structural models; barrier options with exponential boundaries; implied default probability (search for similar items in EconPapers)
Pages: 15 pages
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:ins:quaeco:qf1005
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