Flexing the default barrier

DOI10.1080/14697688.2010.481633MaRDI QIDQ2866385zbMATH OpenOpenAlexFDO

Authors Paul Schneider, Tanja Veža, Gregor Dorfleitner

Publication date 13 December 2013

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://epub.uni-regensburg.de/13465/1/SSRN-id1343513.pdf

zbMATH Keywords

calibrationGreen's functioncredit default swapstructural modeldefault boundary

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)

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Cites work

• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• A Structural Model with Unobserved Default Boundary
• Analytic crossing probabilities for certain barriers by Brownian motion
• Approximation Greenscher Funktionen bei parabolischen Differentialgleichungen. (Approximation of Green's functions for parabolic differential equations)
• Approximations of boundary crossing probabilities for a Brownian motion
• Boundary crossing probability for Brownian motion
• Boundary crossing probability for Brownian motion and general boundaries
• Crossing probabilities for diffusion processes with piecewise continuous boundaries
• Default and information
• Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process
• Interest rate models -- theory and practice. With smile, inflation and credit
• On an integral equation for first-passage-time probability densities
• On evaluations and asymptotic approximations of first-passage-time probabilities
• Optimal capital structure and endogenous default
• Pricing options with Green's functions when volatility, interest rate and barriers depend on time

Cited in

(9)

• Restructuring risk in credit default swaps: an empirical analysis
• Finite-time survival probability and credit default swaps pricing under geometric Lévy markets
• Computation of multivariate barrier crossing probability and its applications in credit risk models
• Estimating default barriers from market information
• A closed-form extension to the Black-Cox model
• A revised version of the Cathcart \& El-Jahel model and its application to CDS market
• Pricing credit derivatives with a structural default model
• HEDGING DOUBLE BARRIERS WITH SINGLES
• Calibrating structural models: a new methodology based on stock and credit default swap data

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