Modelling credit risk in the jump threshold framework

DOI10.1080/1350486X.2018.1465349MaRDI QIDQ5742503zbMATH OpenOpenAlexFDO

Authors

Publication date 15 May 2019

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

Full work available at URL https://doi.org/10.1080/1350486x.2018.1465349

zbMATH Keywords

affine processescredit riskLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Credit risk (91G40)

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Cites work

• A structural jump threshold framework for credit risk
• Affine point processes and portfolio credit risk
• Continuous-time stochastic control and optimization with financial applications
• scientific article; zbMATH DE number 2144815 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Lévy Processes and Stochastic Calculus
• Probability and stochastics.
• Stochastic calculus for finance. II: Continuous-time models.
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Two singular diffusion problems

Cited in

(5)

• The dependence of assets and default threshold with thinning-dependence structure
• Valuing credit derivatives in a jump-diffusion model
• A structural jump threshold framework for credit risk
• scientific article; zbMATH DE number 2133101 (Why is no real title available?)
• Credit gap risk in a first passage time model with jumps

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