Bank Risk Dynamics and Distance to Default
收藏NBER2019-05-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w25807
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资源简介：
We adapt structural models of default risk to take into account the special nature of bank assets. The usual assumption of log-normally distributed asset values is not appropriate for banks. Typical bank assets are risky debt claims, which implies that they embed a short put option on the borrowers
提供机构：
美国国家经济研究局
创建时间：
2019-05-01
