Credit Spread Bounds and their Implications for Credit Risk Modeling

Preprint

1 January 2001

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.275339

Abstract

A basic requirement for a credit risk model is that it should not imply negative default probabilities. In this paper, we explore the implications of this condi

Keywords

CREDIT RISK MODELING
CREDIT SPREAD BOUNDS

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