Concept

Probability of default

Related publications (35)

A General Formula for Valuing Defaultable Securities

Previous research has shown that under a suitable no-jump condition, the price of a defaultable security is equal to its risk-neutral expected discounted cash flows if a modified discount rate is introduced to account for the possibility of default. Below, ...

2004

New hybrid circuit breaker/current limiter with serial and parallel commutation assistance

This paper presents a new hybrid circuit breaker topology based on the use of serial and parallel semiconductors that allows to increase the supply voltage and default current with no arc, and to benefit from a current limitation function. A concrete marin ...

2004

New hybrid circuit breaker/current limiter with serial and parallel commutation assistance

2004

Volatility and Sovereign Default

Luisa Lambertini

Over and over again, history shows that countries default on external debt when their economies experience a downturn. This paper presents a theoretical model of international lending that is consistent with this evidence. Productivity is stochastic and in ...

2003

On the Term Structure of Default Premia in the Swap and LIBOR Markets

Pierre Collin Dufresne

Existing theories of the term structure of swap rates provide an analysis of the Treasury-swap spread based on either a liquidity convenience yield in the Treasury market, or default risk in the swap market. Although these models do not focus on the relati ...

Wiley-Blackwell2001

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