Decomposition of default probability under a structural credit risk model with jumps

DOI10.1007/s10986-012-9180-6zbMath1264.91132OpenAlexW1978557055MaRDI QIDQ1936262

Xue Liang, Yinghui Dong

Publication date: 21 February 2013

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-012-9180-6

zbMATH Keywords

Markov processintegro-differential equationdefault probabilitydefault timerational family distributionStructural credit risk model with jumps

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Credit risk (91G40)

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