A Structural Jump Threshold Framework for Credit Risk

DOI10.1137/140993892zbMath1410.91472OpenAlexW2519378537MaRDI QIDQ2819097

Alec Norton, Pierre Garreau

Publication date: 28 September 2016

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/140993892

zbMATH Keywords

Lévy processescredit riskstructural modelsLévy copulareduced form models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items

Modelling Credit Risk in the Jump Threshold Framework

Cites Work

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