Default prediction with the Merton-type structural model based on the NIG Lévy process

DOI10.1016/j.cam.2016.08.007zbMath1354.91159OpenAlexW2512375057MaRDI QIDQ730567

Aleš Ahčan, Matej Jovan

Publication date: 28 December 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.08.007

zbMATH Keywords

Lévy processnormal inverse Gaussian distributionstructural modelsdefault prediction

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Credit risk (91G40)

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Uses Software

• R

Cites Work

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