Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process.

DOI10.1016/J.INSMATHECO.2003.08.005zbMATH Open1103.91356OpenAlexW2073681861MaRDI QIDQ1423367FDOQ1423367

Authors: Cho-Jieh Chen, Harry H. Panjer 

Publication date: 14 February 2004

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2003.08.005

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zbMATH Keywords

Default riskJump-diffusion processReduced-form modelStructural model

Mathematics Subject Classification ID

Cites Work

• The pricing of options and corporate liabilities
• Option pricing when underlying stock returns are discontinuous
• Pricing the risks of default
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• Title not available (Why is that?)

Cited In (13)

• Randomized structural models of credit spreads
• Absence of firm default in the two-jump model
• Computing the survival probability in the Madan-Unal credit risk model: application to the CDS market
• A recursive method for fractional Hawkes intensities and the potential approach of credit risk
• Jump Diffusion Models for Risky Debts: Quality Spread Differentials
• Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
• Single and joint default in a structural model with purely discontinuous asset prices
• Computation of multivariate barrier crossing probability and its applications in credit risk models
• Using equity options to imply credit information
• On pricing of corporate securities in the case of jump-diffusion
• The optimal analysis of default probability for a credit risk model
• Credit spreads in a reduced-form approach with jump risks
• Valuing risky debt: a new model combining structural information with the reduced-form approach

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