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A comparative analysis of current credit risk models

Author

Listed:
  • Crouhy, Michel
  • Galai, Dan
  • Mark, Robert
Abstract
No abstract is available for this item.

Suggested Citation

  • Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
    • Handle: RePEc:eee:jbfina:v:24:y:2000:i:1-2:p:59-117
    as

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    References listed on IDEAS

    as
    1. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    2. Crouhy, Michel & Galai, Dan, 1994. "The interaction between the financial and investment decisions of the firm: the case of issuing warrants in a levered firm," Journal of Banking & Finance, Elsevier, vol. 18(5), pages 861-880, October.
    3. Alain Bensoussan & Michel Crouhy & Dan Galai, 1994. "Stochastic equity volatility related to the leverage effect," Applied Mathematical Finance, Taylor & Francis Journals, vol. 1(1), pages 63-85.
    4. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    5. A. Bensoussan & M. Crouhy & D. Galai, 1995. "Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(1), pages 43-60.
    Full references (including those not matched with items on IDEAS)

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