Default barrier intensity model for credit risk evaluation

DOI10.1016/J.SPL.2014.08.008MaRDI QIDQ464482zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• Hazard rate for credit risk and hedging defaultable contingent claims
• Hedging of Credit Derivatives in Models with Totally Unexpected Default
• Martingale approximation of eigenvalues for common factor representation
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• Optimal investment with counterparty risk: a default-density model approach
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• The double-barrier inverse first-passage problem for Wiener process with random starting point
• What happens after a default: the conditional density approach

Cited in

(4)

• A constructivist multiple criteria framework for mortgage risk analysis
• scientific article; zbMATH DE number 2133101 (Why is no real title available?)
• Discrete credit barrier models
• A closed-form extension to the Black-Cox model

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