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Quantitative Finance · Glossário

O que é Structural model?

Definition 14.1 Rates, Credit, XVA and Risk · Capítulo 14 — Structural Credit Models

A structural model of credit models the value VtV_t of a firm’s assets and makes default an event defined by VV and the firm’s liabilities: assets below the debt at its maturity, or assets touching a barrier. Default is then predictable from the asset value, and the prices of equity and debt follow from it.

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