A Structural Model with Unobserved Default Boundary

DOI10.1080/13504860701718281zbMath1134.91525OpenAlexW2004463408MaRDI QIDQ3502208

Thorsten Schmidt, Alexander Novikov

Publication date: 22 May 2008

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860701718281

zbMATH Keywords

jump-diffusionstructural modelequity default swapsdefault boundary

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Related Items (6)

The dependence of assets and default threshold with thinning-dependence structure ⋮ The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier ⋮ ON THE CREDIT RISK OF SECURED LOANS WITH MAXIMUM LOAN-TO-VALUE COVENANTS ⋮ DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM ⋮ Default probabilities of a holding company, with complete and partial information ⋮ Flexing the default barrier

Uses Software

• QRM

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Default and information
• Credit Risk Modeling
• Boundary crossing probability for Brownian motion and general boundaries
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Approximations of boundary crossing probabilities for a Brownian motion
• Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process

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