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A model of credit risk based on cash flow

  • Published:2007-08 Issue:4 Volume:54 Page:499-506
  • ISSN:0898-1221
  • Container-title:Computers & Mathematics with Applications
  • language:en
  • Short-container-title:Computers & Mathematics with Applications

Author:

Capinski Marek

Publisher

Elsevier BV

Subject

Computational Mathematics,Computational Theory and Mathematics,Modeling and Simulation

Reference8 articles.

1. Credit Risk: Modeling, Valuation and Hedging;Bielecki,2002

2. Credit Risk Pricing Models, Theory and Practice;Schmid,2004

3. H.-h. Liao, T.-k. Chen, A Cash Flow Based Multi-period Corporate Credit Model, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=753304

4. Modelling Credit Risk with Partial Information;Cetin;The Annals of Applied Probability,2004

5. Liquidation risk;Duffie;Financial Analysts Journal,2003

Cited by 5 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A recursive method for fractional Hawkes intensities and the potential approach of credit risk;Journal of Computational and Applied Mathematics;2024-10

2. Enterprise credit risk portrait and evaluation from the perspective of the supply chain;International Transactions in Operational Research;2023-01-10

3. Incomplete information model of credit default of micro and small enterprises;International Journal of Finance & Economics;2021-08-17

4. Risk-adjusted pricing of project loans;Studies in Economics and Finance;2019-06-19

5. An efficient approach for calculating default probabilities for cash-flow based project finance with reserve account;Computing and Visualization in Science;2015-08
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