Jan Vorisek

Academy of Sciences of the Czech Republic

Narodni 3, 111 42

Praha 1, 117 20

Czech Republic

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Scholarly Papers (1)

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Multi-Period Merton-Vasicek-Pykhtin Model

Number of pages: 52 Posted: 14 Mar 2018 Last Revised: 16 Jun 2018
Martin Smid, Jaroslav Dufek and Jan Vorisek
Institute of Information Theory and Automation, Prague, Institute of Information Theory and Automation, Prague and Academy of Sciences of the Czech Republic
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Abstract:

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Credit Risk, Structural Factor Models, Loan Portfolio Management