The optimal analysis of default probability for a credit risk model

DOI10.1155/2014/878306zbMath1406.91474OpenAlexW2118465050WikidataQ59042240 ScholiaQ59042240MaRDI QIDQ1725187

Yang Wang, Aiyin Wang, Weili Zeng, Ls Yong

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/878306

zbMATH Keywords

jump-diffusion processdefault probabilitycredit risk model

Mathematics Subject Classification ID

Credit risk (91G40)

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Cites Work

• Pricing the risks of default
• Risk theory for the compound Poisson process that is perturbed by diffusion
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Ruin theory in a financial corporation model with credit risk.
• Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process.
• DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
• Option pricing when underlying stock returns are discontinuous