Structural credit risk models with subordinated processes

DOI10.1155/2013/138272zbMATH Open1397.91587OpenAlexW2027811848WikidataQ59001775 ScholiaQ59001775MaRDI QIDQ1789762FDOQ1789762

Authors: Martin Gurny, Sergio Ortobelli Lozza, Rosella Giacometti 

Publication date: 10 October 2018

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/138272

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Mathematics Subject Classification ID

Credit risk (91G40)

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• Climate risk in structural credit models
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• Default prediction with the Merton-type structural model based on the NIG Lévy process
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• Empirical studies of structural credit risk models and the application in default prediction: review and new evidence
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