7 citations · 7 across the 3 of their papers we have counts for
3 papers
q-fin.GN2018
Planetary boundaries of consumption growth: Declining social discount rates
Victor E. Gluzberg, Yuri A. Katz
We introduce the logistic model of consumption growth, which captures a negative feedback loop preventing an unlimited growth of consumption due to finite biophysical resources of…
q-fin.RM2014
qGaussian model of default
Yuri A. Katz
We present the qGaussian generalization of the Merton framework, which takes into account slow fluctuations of the volatility of the firms market value of financial assets. The min…
q-fin.RM2010★ 7 cited
Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model
Yuri A. Katz, Nikolai V. Shokhirev
We develop a generalization of the Black-Cox structural model of default risk. The extended model captures uncertainty related to firm's ability to avoid default even if company's…