The optimal analysis of default probability for a credit risk model (Q1725187)
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scientific article; zbMATH DE number 7023241
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| English | The optimal analysis of default probability for a credit risk model |
scientific article; zbMATH DE number 7023241 |
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The optimal analysis of default probability for a credit risk model (English)
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14 February 2019
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Summary: A credit risk mathematical model is investigated. Under regular conditions, a different recovery scheme is proposed, which is an extension of the recovery of treasury value scheme (RTV) with time-continuous liquidation. Assuming that a function depends on the optimal time for the liquidation and the recovery rate, we obtain the functional expression of the risky bond price. When the firm value follows a jump-diffusion process with a log-exponentially distributed jump, we develop a method to obtain the optimal default probability with time-continuous liquidation.
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credit risk model
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default probability
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jump-diffusion process
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0.7612757086753845
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0.754989504814148
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0.752943754196167
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0.7470337152481079
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