Valuing default risk for assets value jump processes

MaRDI QIDQ5167258zbMATH OpenFDO

Authors Hoang Thi Phuong Thao

Publication date 9 July 2014

zbMATH Keywords

default riskjump processesliabilityMerton modelruin probability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Recommendations

• A note on a model of Merton type for valuing default risk
• Pricing of credit risky debts when the asset prices follow a jump-diffusion process
• Default risk for listed companies in double exponential jump diffusion process
• Decomposition of default probability under a structural credit risk model with jumps
• ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS

Cited in

(10)

• Decomposition of default probability under a structural credit risk model with jumps
• On the probability of default in a market with price clustering and jump risk
• Evaluation and default time for companies with uncertain cash flows
• ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS
• Modelling default risk using a stochastic process approach.
• scientific article; zbMATH DE number 5734032 (Why is no real title available?)
• Default risk for listed companies in double exponential jump diffusion process
• A note on a model of Merton type for valuing default risk
• scientific article; zbMATH DE number 5048394 (Why is no real title available?)
• Risk-based premium evaluation with jump diffusion process for PBGC

This page was built for publication: Valuing default risk for assets value jump processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5167258)