Jaroslav Dufek

Institute of Information Theory and Automation, Prague

Pod vodarenskou vezi 4

Praha, CZ-18208

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
Downloads 44 (418,617)

Abstract:

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Credit Risk, Structural Factor Models, Loan Portfolio Management