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Equilibrium Defaultable Corporate Debt and Investment
Hong Chen / Murray Zed Frank
capital structure / corporate financeResource overview

Equilibrium Defaultable Corporate Debt and Investment

Paper2022

by Hong Chen, Murray Zed Frank

Tags
capital structurecorporate financecredit risk

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Suggested foundations for credit and counterparty risk. Specialist prerequisites vary by paper.

Before you read

  1. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  2. Conditional Expectation

    Read conditional default and exposure quantities.

Go further

  1. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

  2. CVA and DVA

    Connect exposure and counterparty losses to valuation adjustments.

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