Fanlin Zhu

affiliation not provided to SSRN

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Scholarly Papers (1)

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Reduced Form vs. Structural Models of Credit Risk: A Case Study of Three Models

Journal of Investment Management, Vol. 3, No. 4, Fourth Quarter 2005
Posted: 27 Jul 2005
Navneet Arora, Jeffrey Bohn and Fanlin Zhu
American Century Investments, University of California, Berkeley - Center for Risk Management Research and affiliation not provided to SSRN

Abstract:

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Credit risk, default risk, default probability, structural model, reduced-form model, Merton model, equity, corporate bonds, credit default swaps (CDS), power curves, credit spreads