CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
From MaRDI portal
Publication:3393976
Recommendations
- The optimal capital structure of the firm with stable Lévy assets returns
- Credit spreads in a reduced-form approach with jump risks
- Credit modeling under jump diffusions with exponentially distributed jumps -- stable calibration, dynamics and gap risk
- Optimal capital structure and endogenous default
- Local volatility enhanced by a jump to default
Cites work
- A General Formula for Valuing Defaultable Securities
- A jump to default extended CEV model: an application of Bessel processes
- Asset Prices in an Exchange Economy
- Credit risk: Modelling, valuation and hedging
- Financial Modelling with Jump Processes
- First passage times of a jump diffusion process
- OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
- Optimal capital structure and endogenous default
- Option pricing when underlying stock returns are discontinuous
- PDE approach to valuation and hedging of credit derivatives
- PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
- Pricing the risks of default
- Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
- REGULAR VARIATION AND SMILE ASYMPTOTICS
- Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
- Term Structures of Credit Spreads with Incomplete Accounting Information
- The Fourier-series method for inverting transforms of probability distributions
- The pricing of options and corporate liabilities
Cited in
(51)- Credit modeling under jump diffusions with exponentially distributed jumps -- stable calibration, dynamics and gap risk
- An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
- Credit spreads, endogenous bankruptcy and liquidity risk
- On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
- CONIC FINANCE AND THE CORPORATE BALANCE SHEET
- Integrated structural approach to credit value adjustment
- Systematic equity-based credit risk: A CEV model with jump to default
- On the credit risk of secured loans with maximum loan-to-value covenants
- Absence of firm default in the two-jump model
- Opaque bank assets and optimal equity capital
- How do capital structure and economic regime affect fair prices of bank's equity and liabilities?
- A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
- Credit-equity modeling under a latent Lévy firm process
- Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
- Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models
- Finite-time survival probability and credit default swaps pricing under geometric Lévy markets
- Real options under a double exponential jump-diffusion model with regime switching and partial information
- A two-factor structural model for valuing corporate securities
- Enhanced equity-credit modelling for contingent convertibles
- The dependence of assets and default threshold with thinning-dependence structure
- scientific article; zbMATH DE number 1909068 (Why is no real title available?)
- Optimal capital structure and credit spreads under pandemic shocks
- Structural pricing of CoCos and deposit insurance with regime switching and jumps
- Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model
- RETHINKING DYNAMIC CAPITAL STRUCTURE MODELS WITH ROLL‐OVER DEBT
- A dynamic program for valuing corporate securities
- Investment and financing for SMEs with a partial guarantee and jump risk
- Switching tax structure and payouts in endogenous bankruptcy models
- On the conditional default probability in a regulated market with jump risk
- A latent process model for the pricing of corporate securities
- Leverage, options liabilities, and corporate bond pricing
- Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications
- Precautionary measures for credit risk management in jump models
- The Leland-Toft optimal capital structure model under Poisson observations
- Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
- Fair valuation of life insurance contracts under a two-sided jump diffusion model
- Pricing corporate debt with finite maturity and chapter 11 proceedings
- Optimization of capital structure in real estate enterprises
- Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
- Structural recovery of face value at default
- The optimal capital structure of the firm with stable Lévy assets returns
- Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
- Implications of implicit credit spread volatilities on interest rate modelling
- Credit spreads in a reduced-form approach with jump risks
- Local volatility enhanced by a jump to default
- Pricing formula for exotic options with assets exposed to counterparty risk
- The \(\beta \)-variance gamma model
- Corporate debt value under transition scenario uncertainty
- An intensity model for credit risk with switching Lévy processes
- Optimal capital structure with scale effects under spectrally negative Lévy models
- Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform
This page was built for publication: CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3393976)
