Default barrier intensity model for credit risk evaluation

DOI10.1016/J.SPL.2014.08.008zbMATH Open1307.91187OpenAlexW2010889536MaRDI QIDQ464482FDOQ464482

Authors: Majdi Elhiwi 

Publication date: 27 October 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.08.008

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zbMATH Keywords

conditional expectationcredit riskdefault intensitybarrier processstructural and reduced form model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• Hazard rate for credit risk and hedging defaultable contingent claims
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• Enlargement of Filtrations and Continuous Girsanov-Type Embeddings
• Martingale representation theorems for initially enlarged filtrations.
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• Hedging of Credit Derivatives in Models with Totally Unexpected Default
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• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
• What happens after a default: the conditional density approach
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• The double-barrier inverse first-passage problem for Wiener process with random starting point
• Martingale approximation of eigenvalues for common factor representation
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• Conditional Default Probability and Density

Cited In (3)

• A constructivist multiple criteria framework for mortgage risk analysis
• Title not available (Why is that?)
• Discrete credit barrier models

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