Decomposition of default probability under a structural credit risk model with jumps
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.
- Credit modeling under jump diffusions with exponentially distributed jumps -- stable calibration, dynamics and gap risk
- A note on the calculation of default probabilities in ``Structural credit risk modeling with Hawkes jump-diffusion processes
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- On the probability of default in a market with price clustering and jump risk
- Valuing default risk for assets value jump processes
- A jump-diffusion model for option pricing
- A unified framework for numerically inverting Laplace transforms
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- scientific article; zbMATH DE number 48952 (Why is no real title available?)
- scientific article; zbMATH DE number 3272022 (Why is no real title available?)
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