Modelling Liquidation Risk with Occupation Times


We develop a new structural model that allows for a distinction between default and liquidation to be made. Default occurs when firm’s asset value process crosses a bankruptcy barrier. Here, we do not assume that default... [ view full abstract ]


  1. Roman Makarov (Wilfrid Laurier University)

Topic Areas

Credit Risk , Risk Management


TU-A-B2 » Credit Risk 1 (11:30 - Tuesday, 17th July, Beckett 2)

Presentation Files

The presenter has not uploaded any presentation files.