9. Structural models are characterized by modeling the firms value in order to provide the probability of

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9. Structural models are characterized by modeling the firm’s value in order to provide the probability of a firm default. The Black-

Scholes-Merton option pricing framework is the foundation of the structural model approach.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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