Youngsoo Jang - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T13:39:35+00:00A Generalized Endogenous Grid Method for Default Risk Models
https://www.bankofcanada.ca/2021/03/staff-working-paper-2021-11/
Models with default options are hard to solve. We propose an extension of the endogenous grid method that solves default risk models more efficiently and accurately.2021-03-12T13:14:25+00:00enA Generalized Endogenous Grid Method for Default Risk Models2021-03-12Credit and credit aggregatesCredit risk managementStaff Working Paper 2021-11https://www.bankofcanada.ca/wp-content/uploads/2021/03/swp2021-11.pdfStaff Working Paper 2021-11Youngsoo JangSoyoung LeeMarch 2021CC6C63EE3E37