The Merton Approach to Estimating Loss Given Default: Application to the Czech Republic
| Author(s): | doc. PhDr. Ing. Ing. Petr Jakubík Ph.D. Ph.D., PhDr. Jakub Seidler Ph.D., |
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| Type: | Articles in refereed journals |
| Year: | 2010 |
| Number: | 255 |
| ISSN / ISBN: | |
| Published in: | Czech National Bank WP 13/2009 |
| Publishing place: | Prague, Czech Republic |
| Keywords: | loss given default, credit risk, structural models |
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| Grants: | GACR 403/10/1235 (2010-2014) Institutional Responses to Financial Market Failures GAUK 2009/47509 Decomposition of securities' market prices into risk parameters |
| Abstract: |
