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Estimating the Price of Default Risk Gregory R. Duffee Federal Reserve Board A firm’s instantaneous probability of default is modeled as a translated squareroot diffusion process modified to allow the process to be cor
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Document Date: 2008-07-22 14:09:53
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Estimating the Price of Default Risk Gregory R. Duffee Federal Reserve Board A firm’s instantaneous probability of default is modeled as a translated squareroot diffusion process modified to allow the process to be cor