Single and joint default in a structural model with purely discontinuous asset prices

DOI10.1080/14697680902991965zbMath1202.91336OpenAlexW2059188394MaRDI QIDQ3557566

Filippo Fiorani, Patrizia Semeraro, Elisa Luciano

Publication date: 23 April 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902991965

zbMATH Keywords

credit riskstructural modelsdefault probabilityjoint defaultLévy asset prices

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Credit risk (91G40)

Related Items (6)

A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model ⋮ Extending the Merton model with applications to credit value adjustment ⋮ A Structural Approach to Default Modelling with Pure Jump Processes ⋮ Convertible bond valuation in a jump diffusion setting with stochastic interest rates ⋮ Default probabilities of a holding company, with complete and partial information ⋮ Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy

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