Decomposition of default probability under a structural credit risk model with jumps

DOI10.1007/S10986-012-9180-6MaRDI QIDQ1936262zbMATH OpenOpenAlexFDO

Authors Yinghui Dong, Xue Liang

Publication date 21 February 2013

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10986-012-9180-6

zbMATH Keywords

Markov processintegro-differential equationdefault probabilitydefault timerational family distributionStructural credit risk model with jumps

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Credit risk (91G40)

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• Credit modeling under jump diffusions with exponentially distributed jumps -- stable calibration, dynamics and gap risk
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• On the probability of default in a market with price clustering and jump risk
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Cites work

• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 3272022 (Why is no real title available?)
• A jump-diffusion model for option pricing
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• On first passage times of a hyper-exponential jump diffusion process
• On the Density and Moments of the Time of Ruin with Exponential Claims
• Optimal capital structure and endogenous default
• Pricing the risks of default
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
• The Fourier-series method for inverting transforms of probability distributions
• The Time Value of Ruin in a Sparre Andersen Model
• The compound Poisson process perturbed by a diffusion with a threshold dividend strategy
• The perturbed compound Poisson risk model with two-sided jumps
• The pricing of options and corporate liabilities

Cited in

(8)

• A note on the calculation of default probabilities in ``Structural credit risk modeling with Hawkes jump-diffusion processes
• On the probability of default in a market with price clustering and jump risk
• Absence of firm default in the two-jump model
• Valuing default risk for assets value jump processes
• Implied fractional hazard rates and default risk distributions
• On the conditional default probability in a regulated market with jump risk
• Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
• The optimal analysis of default probability for a credit risk model

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