A Structural Model with Unobserved Default Boundary

DOI10.1080/13504860701718281MaRDI QIDQ3502208zbMATH OpenOpenAlexFDO

Authors Thorsten Schmidt, A. Novikov

Publication date 22 May 2008

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860701718281

zbMATH Keywords

default boundaryequity default swapsjump-diffusionstructural model

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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Cites work

• Approximations of boundary crossing probabilities for a Brownian motion
• Boundary crossing probability for Brownian motion and general boundaries
• Credit Risk Modeling
• Default and information
• Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process
• scientific article; zbMATH DE number 1232374 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Term Structures of Credit Spreads with Incomplete Accounting Information
• The pricing of options and corporate liabilities

Cited in

(10)

• Structural default model with mutual obligations
• The dependence of assets and default threshold with thinning-dependence structure
• Default probabilities of a holding company, with complete and partial information
• Flexing the default barrier
• On the credit risk of secured loans with maximum loan-to-value covenants
• Dynamic defaultable term structure modeling beyond the intensity paradigm
• A closed-form extension to the Black-Cox model
• The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier
• Nonparametric filtering, estimation and classification using neural jump ODEs
• Linear convergence of the default probability and the implied barrier by trees

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Uses Software

• QRM

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