Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process.

DOI10.1016/j.insmatheco.2003.08.005zbMath1103.91356OpenAlexW2073681861MaRDI QIDQ1423367

Harry H. Panjer, Cho-Jieh Chen

Publication date: 14 February 2004

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2003.08.005

zbMATH Keywords

Structural modelDefault riskJump-diffusion processReduced-form model

Mathematics Subject Classification ID

Related Items (6)

Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model ⋮ Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market ⋮ Using equity options to imply credit information ⋮ The optimal analysis of default probability for a credit risk model ⋮ Valuing risky debt: a new model combining structural information with the reduced-form approach ⋮ Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models

Cites Work

• The Pricing of Options and Corporate Liabilities
• Pricing the risks of default
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• Option pricing when underlying stock returns are discontinuous
• Unnamed Item

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