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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| Main Author: | |
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| Format: | Article |
| Language: | Russian |
| Published: |
Plekhanov Russian University of Economics
2017-09-01
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| Series: | Вестник Российского экономического университета имени Г. В. Плеханова |
| Subjects: | |
| Online Access: | https://vest.rea.ru/jour/article/view/63 |
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