Author/Editor: Jose Giancarlo Gasha, Andre Santos, Jorge A. Chan-Lau, Carlos I. Medeiros, Marcos Souto, Christian Capuano.

Release Date:August, 2009

As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and more...

Author/Editor: Christian Capuano.

Release Date:August, 2008

We present a framework to derive the probability of default implied by the price of equity options. The framework does not require any strong statistical assumption, and provide results that are more...