Cheng-Der Fuh, Chu-Lan Michael Kao. Credit Risk Propagation in Structural-Form Models. SIAM J. Financial Math., 12(4):1340-1373, 2021. [doi]
@article{FuhK21,
title = {Credit Risk Propagation in Structural-Form Models},
author = {Cheng-Der Fuh and Chu-Lan Michael Kao},
year = {2021},
doi = {10.1137/20M135340X},
url = {https://doi.org/10.1137/20M135340X},
researchr = {https://researchr.org/publication/FuhK21},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {12},
number = {4},
pages = {1340-1373},
}