An intensity model for credit risk with switching Lévy processes

DOI10.1080/14697688.2012.756583zbMath1402.91846OpenAlexW2042530393MaRDI QIDQ5245904

Donatien Hainaut, Olivier Le Courtois

Publication date: 16 April 2015

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

Full work available at URL: https://doi.org/10.1080/14697688.2012.756583

zbMATH Keywords

credit riskcredit derivativesLevy processapplications to credit risk

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Credit risk (91G40)

Related Items

Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates, Clustered Lévy processes and their financial applications, Kac-Lévy processes, CDS pricing with fractional Hawkes processes, A set-valued Markov chain approach to credit default

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