Decomposition of default probability under a structural credit risk model with jumps (Q1936262): Difference between revisions
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Revision as of 22:21, 19 March 2024
scientific article
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English | Decomposition of default probability under a structural credit risk model with jumps |
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Decomposition of default probability under a structural credit risk model with jumps (English)
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21 February 2013
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The authors study the default probability under the jump-diffusion model. The specific feature of their approach is the decomposition of default probability into two parts, the default probability caused by a jump and by oscillation, respectively. The aim is to investigate whether the jump component or the diffusion component makes a bigger contribution to the long-term and short-term default probabilities. Explicit expressions for the Laplace transforms of the times of default caused by a jump and by oscilation, are given. Based on these results, some numerical calculations for the default probabilities are given. Twice continuously differentiable property of the Laplace transforms is proved.
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Structural credit risk model with jumps
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integro-differential equation
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Markov process
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default time
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default probability
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rational family distribution
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