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Randomized structural models of credit spreads |
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| Authors: | Chuang Yi Alexander Tchernitser Tom Hurd |
| Institution: | 1. Market and Trading Credit Risk, Royal Bank of Canada , Toronto, Ontario, Canada chuang.yi@live.ca;3. Market Risk, Bank of Montreal (BMO) , Toronto, Ontario, Canada;4. McMaster University , Hamilton, Ontario, Canada |
| Abstract: | |
| Keywords: | Randomized Merton Randomized Black–Cox Incomplete information Solvency ratio Credit spreads |