Single and joint default in a structural model with purely discontinuous asset prices

DOI10.1080/14697680902991965MaRDI QIDQ3557566zbMATH OpenOpenAlexFDO

Authors Filippo Fiorani, Elisa Luciano, Patrizia Semeraro

Publication date 23 April 2010

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680902991965

zbMATH Keywords

credit riskdefault probabilityjoint defaultLévy asset pricesstructural models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Credit risk (91G40)

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Cited in

(9)

• Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
• Default probabilities of a holding company, with complete and partial information
• A structural jump threshold framework for credit risk
• A Structural Model with Unobserved Default Boundary
• Convertible bond valuation in a jump diffusion setting with stochastic interest rates
• A structural approach to default modelling with pure jump processes
• A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model
• Extending the Merton model with applications to credit value adjustment
• Introducing and testing the Carr model of default

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