COMPUTER-EFFICIENT BINOMINAL MODEL OF DEFAULT DISTRIBUTION

The analysis of default correlation is especially acute in conditions of the current finance crisis. The article discusses examples of using the binominal model of default distribution in certain cases. The author formulated and proved the equation about types of correlations to solve the task of fi...

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Autor principal: Dmitry V. Bogdanov
Formato: article
Lenguaje:RU
Publicado: Plekhanov Russian University of Economics 2017
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Acceso en línea:https://doaj.org/article/206f2bbd7f1147559a4c31adce9a9a98
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