Lucie Y. Lu

McGill University, Desautels Faculty of Management, Students

1001 Sherbrooke St. West

Montreal

Canada

http://https://www.mcgill.ca/desautels/yiliu-lu

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Scholarly Papers (1)

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Default Linkages in a Structural Credit Model

Number of pages: 54 Posted: 05 May 2021 Last Revised: 18 Jan 2022
McGill University, UNSW Business School and McGill University, Desautels Faculty of Management, Students
Downloads 112 (335,603)

Abstract:

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Credit Risk, Structural Models, Asset Prices, Leverage, Volatility, Spillovers