Default prediction with the Merton-type structural model based on the NIG Lévy process

DOI10.1016/J.CAM.2016.08.007MaRDI QIDQ730567zbMATH OpenOpenAlexFDO

Authors Matej Jovan, Ales Ahcan

Publication date 28 December 2016

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2016.08.007

zbMATH Keywords

default predictionLévy processnormal inverse Gaussian distributionstructural models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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Cites work

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Cited in

(9)

• Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing
• Pricing American options by a Fourier transform multinomial tree in a conic market
• Merton's equation and the quantum oscillator: pricing risky corporate coupon bonds
• Adjusting covariance matrix for risk management
• A MERTON-MODEL APPROACH TO ASSESSING THE DEFAULT RISK OF UK PUBLIC COMPANIES
• Quasi-maximum likelihood for estimating structural models
• The expectation-maximization algorithm for autoregressive models with normal inverse Gaussian innovations
• Pricing of convertible bonds based on Normal Inverse Gaussian model
• A new approach for firm value and default probability estimation beyond Merton models

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Uses Software

• R

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