Abella Muñoz, RebecaArmero Huertas, IsmaelIvorra, BenjaminRamos del Olmo, Ángel Manuel2023-06-202023-06-202010-11-25[1] David X. Li, On Default Correlation: A Copula Function Approach, Journal of Fixed Income, Vol. 9, No. 4, pp. 43-54, 2000. [2] Duan, J. C., Maximum Likelihood Estimation Using Price Data of the Derivative Contract, Mathematical Finance 4, pages 155-157, 1994. [3] Elizalde Abel, Credit Risk Models I: Default Correlation in Intensity Models, CEMFI and UPNA, 2005. [4] Elizalde Abel, Credit Risk Models II: Structural Models, CEMFI and UPNA, 2005. [5] Black, F., and J. C. Cox, Valuing Corporate Securities: Some Effects of Bond Identure Provisions, Journal of Finance 31, pages 351-367, 1976. [6] Black, F., and Scholes, M., The Pricing of Options and Corporate Liabilities, Journal of Political Economy 81, pages 637-654, 1973. [7] Eom, Y. H., Helwege, J., and Huang, J. Z., Structural Models of Corporate Bond Pricing: An Empirical Analysis, Review of Financial Studies 17, pages 499-544, 2003. [8] H. Fischer, The Central Limit Theorem from Laplace to Cauchy, 2000. [9] www.investopedia.com. [10] www.investorwords.com. [11] Giesecke, K., and Goldberg, L. R., Sequential defaults and incomplete information, Journal of risk 7, pages 1-26, 2004. [12] Ivorra Benjamin, Optimisation globale semi-d'eterministe et applications industrielles, Ph.D. Thesis, Universit´e de Montpellier 2, 2006. [13] Ivorra Benjamin, Bijan Mohammadi, Angel Manuel Ramos, Semideterministic Global Optimization Method: Application to a Control Problem of the Burgers Equation, Journal of Optimization, Theory and Applications (J. Optimiz. Theory App.), ISSN: 0022-3239. Vol. 135, 2007, pages 549-561, 2007. [14] Jones, P., Mason, S., and Rosenfeld, E., Contingent Claim Analysis of Corporate Capital Structures: An Empirical Investigation, Journal of Finance 39, pages 611-625, 1984. [15] Merton, R., On the Pricing of Corporate Debt: the Risk Structure of Interest Rates, Journal of Finance 29, pages 449-470, 1974. [16] M. Sellers and A. Davidson, Modelling default risk: Private firm model, KMV Corporation, 1998. [17] P.J. Schnbucher, Credit Derivatives Pricing Models, Wiley Finance, 2003. [18] Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, David Heath, Coherent Measures of Risk, Blackwell Publishers Inc, Volume 9 Issue 3, pages 203-228, 1999. [19] R. Tyrrell Rockafellar, Stanislav Uryasev, Conditional value-atrisk for general loss distributions, Journal of banking and finance, ISSN 0378-4266, Vol. 26, N. 7, pages 1443-1471, 2002. [20] R. Cavestany Sanz-Briz, Estructuras de Correlaciones de Crédito para el Cálculo de Capital Económico, PriceWaterHouse Coopers, 2002.https://hdl.handle.net/20.500.14352/44489engjournal articlehttp://www.mat.ucm.es/deptos/ma/prepublicaciones/2010/2010-16p.pdfhttp://www.mat.ucm.es/deptos/ma/open access519.8:336Investigación operativa (Matemáticas)Econometría (Economía)1207 Investigación Operativa5302 Econometría