Lucie Y. Lu

University of Melbourne, Faculty of Business and Economics

Senior Lecturer of Finance

198 Berkeley Street

Parkville, Victoria 3053

Australia

  • University of Melbourne, Faculty of Business and Economics

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Default Risk Linkages in a Structural Credit Model

Number of pages: 74 Posted: 05 May 2021 Last Revised: 14 Nov 2023
Jan Ericsson, Alexandre Jeanneret, Lucie Y. Lu and Kristoffer J. Glover
McGill University, UNSW Business School, University of Melbourne, Faculty of Business and Economics and University of Technology Sydney (UTS) - UTS Business School
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Abstract:

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