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On the conditional default probability in a regulated market: a structural approach

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  • Lijun Bo
  • Dan Tang
  • Yongjin Wang
  • Xuewei Yang

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  • Lijun Bo & Dan Tang & Yongjin Wang & Xuewei Yang, 2011. "On the conditional default probability in a regulated market: a structural approach," Quantitative Finance, Taylor & Francis Journals, vol. 11(12), pages 1695-1702.
    • Handle: RePEc:taf:quantf:v:11:y:2011:i:12:p:1695-1702
    DOI: 10.1080/14697680903473278
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    Cited by:

    1. Dalla Valle, Luciana & De Giuli, Maria Elena & Tarantola, Claudia & Manelli, Claudio, 2016. "Default probability estimation via pair copula constructions," European Journal of Operational Research, Elsevier, vol. 249(1), pages 298-311.
    2. Xindan Li & Dan Tang & Yongjin Wang & Xuewei Yang, 2014. "Optimal processing rate and buffer size of a jump-diffusion processing system," Annals of Operations Research, Springer, vol. 217(1), pages 319-335, June.
    3. Bai, Yizhou & Xue, Cheng, 2021. "An empirical study on the regulated Chinese agricultural commodity futures market based on skew Ornstein-Uhlenbeck model," Research in International Business and Finance, Elsevier, vol. 57(C).
    4. Yang Xuewei, 2013. "A new numerical scheme for a class of reflected stochastic differential equations," Monte Carlo Methods and Applications, De Gruyter, vol. 19(4), pages 273-279, December.
    5. Xing, Xiaoyu & Xing, Yongsheng & Yang, Xuewei, 2012. "A note on transition density for the reflected Ornstein–Uhlenbeck process," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 586-591.
    6. Bo, Lijun & Song, Renming & Tang, Dan & Wang, Yongjin & Yang, Xuewei, 2012. "Lévy risk model with two-sided jumps and a barrier dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 280-291.
    7. Lijun Bo & Yongjin Wang & Xuewei Yang, 2014. "On the Default Probability in a Regime-Switching Regulated Market," Methodology and Computing in Applied Probability, Springer, vol. 16(1), pages 101-113, March.

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