On the default probability in a regime-switching regulated market

DOI10.1007/s11009-012-9301-zzbMath1291.91169OpenAlexW2095506561MaRDI QIDQ2445481

Xuewei Yang, Li Jun Bo, Yong Jin Wang

Publication date: 14 April 2014

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-012-9301-z

zbMATH Keywords

first passage timedefault probabilityreflected stochastic differential equationinteracting stochastic differential equationsLaplace transform formulasregime-switching regulated market

Mathematics Subject Classification ID

Related Items (9)

The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier ⋮ Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model ⋮ A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling ⋮ Basket CDS pricing with default intensities using a regime-switching shot-noise model ⋮ A Markov modulated dynamic contagion process with application to credit risk ⋮ A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes ⋮ Reliability for discrete state systems with cyclic missions periods ⋮ On pricing barrier control in a regime-switching regulated market ⋮ Optimal pricing barriers in a regulated market using reflected diffusion processes

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