Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model

DOI10.1007/s10690-007-9033-1zbMath1131.91354OpenAlexW3124343035MaRDI QIDQ878214

François Quittard-Pinon, Olivier Le Courtois

Publication date: 26 April 2007

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-007-9033-1

zbMATH Keywords

jump-diffusionEsscher transformstructural modelcumulative default probabilityendogenous capital structureKou processes

Mathematics Subject Classification ID

Markov processes (60J99)

Related Items (14)

ON THE CREDIT RISK OF SECURED LOANS WITH MAXIMUM LOAN-TO-VALUE COVENANTS ⋮ Decomposition of default probability under a structural credit risk model with jumps ⋮ The first passage time problem for mixed-exponential jump processes with applications in insurance and finance ⋮ The optimal capital structure of the firm with stable Lévy assets returns ⋮ ON SURRENDER AND DEFAULT RISKS ⋮ Pricing the Zero-Coupon Bond and its Fair Premium Under a Structural Credit Risk Model with Jumps ⋮ A Structural Approach to Default Modelling with Pure Jump Processes ⋮ Structural pricing of CoCos and deposit insurance with regime switching and jumps ⋮ A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications ⋮ CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK ⋮ Pricing and hedging defaultable participating contracts with regime switching and jump risk ⋮ An intensity model for credit risk with switching Lévy processes ⋮ Fair Valuation of Life Insurance Contracts Under a Two-Sided Jump Diffusion Model ⋮ Evaluation and default time for companies with uncertain cash flows

Cites Work

• A Jump-Diffusion Model for Option Pricing
• Pricing the risks of default
• Geometric Lévy process \& MEMM pricing model and related estimation problems
• The minimal entropy martingale measures for geometric Lévy processes
• Optimal capital structure and endogenous default
• Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• Modeling growth stocks via birth-death processes

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