Structural credit risk model driven by Lévy process under knight uncertainty

DOI10.1007/S10479-023-05309-2MaRDI QIDQ6165397zbMATH OpenOpenAlexFDO

Authors Zhenyu Tang, Bin Zhong, Liang Zhou, Chuanhe Shen

Publication date 31 July 2023

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-023-05309-2

zbMATH Keywords

knight uncertaintyLévy processnumerical analysisstructural credit risk model

Mathematics Subject Classification ID

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

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Cites work

• Ambiguity, Risk, and Asset Returns in Continuous Time
• Incomplete markets, Knightian uncertainty and high-water marks
• Lévy Processes and Stochastic Calculus
• Optimal capital structure and endogenous default
• Risk, ambiguity and the Savage axioms
• The pricing of options and corporate liabilities

Cited in

(4)

• scientific article; zbMATH DE number 5619427 (Why is no real title available?)
• STRUCTURAL CREDIT RISK MODELS WITH LÉVY PROCESSES: THE VG AND NIG CASES
• Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model
• Multivariate Lévy models: calibration and pricing

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