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Rethinking Valuation and Pricing Models by Greg N. Gregoriou, Christian Hoppe, Carsten Wehn

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15

Computing Reliable Default Probabilities in Turbulent Times

Dean Fantazzini and Mario Maggi∗∗

Moscow State University

∗∗University of Pavia

Chapter Outline

15.1 Introduction

The financial crisis that started in 2007 has clearly highlighted the importance of having robust and reliable methods to compute default probabilities. When Lehman Brothers filed for bankruptcy on 15 September 2008, marking the largest bankruptcy in US history, numerous analysts were almost caught ...

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