A structural jump threshold framework for credit risk

DOI10.1137/140993892MaRDI QIDQ2819097zbMATH OpenOpenAlexFDO

Authors Pierre Garreau, Alec Kercheval

Publication date 28 September 2016

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/140993892

zbMATH Keywords

credit riskLévy copulaLévy processesreduced form modelsstructural models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites work

• A Multivariate Exponential Distribution
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• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Credit risk: Modelling, valuation and hedging
• Default and information
• Evaluating first-passage probabilities for spectrally one-sided Lévy processes
• Financial Modelling with Jump Processes
• First passage times of a jump diffusion process
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• Introductory lectures on fluctuations of Lévy processes with applications.
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• Lévy processes in finance: inverse problems and modeling of dependence.

Cited in

(7)

• Integrated structural approach to credit value adjustment
• Systematic equity-based credit risk: A CEV model with jump to default
• The dependence of assets and default threshold with thinning-dependence structure
• Efficient solution of structural default models with correlated jumps and mutual obligations
• Single and joint default in a structural model with purely discontinuous asset prices
• Modelling credit risk in the jump threshold framework
• A Weak MLMC Scheme for Lévy-Copula-Driven SDEs with Applications to the Pricing of Credit, Equity and Interest Rate Derivatives

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