A Structural Approach to Default Modelling with Pure Jump Processes

DOI10.1080/1350486X.2021.1957956zbMath1475.91381arXiv2102.06299MaRDI QIDQ5165003

Victor James, Jean-Philippe Aguilar, Nicolas Pesci

Publication date: 15 November 2021

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.06299

zbMATH Keywords

Lévy processcredit riskgamma processdefault probabilityinverse Gaussian processvariance gamma processdistance to defaultone-sided process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Credit risk (91G40) Jump processes on discrete state spaces (60J74)

Cites Work

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