Modeling Credit Risk in the Jump Threshold Framework

@inproceedings{Chiu2017ModelingCR,
  title={Modeling Credit Risk in the Jump Threshold Framework},
  author={C.-Y. Chiu and Alec N. Kercheval},
  year={2017}
}
Abstract The jump threshold framework for credit risk modeling developed by Garreau and Kercheval (2016) enjoys the advantages of both structural and reduced form models. In their paper, the focus is on multi-dimensional default dependence, under the assumptions that stock prices follow an exponential Lévy process (i.i.d. log returns) and that interest rates and stock volatility are constant. Explicit formulas for default time distributions and Basket CDS prices are obtained when the default… CONTINUE READING

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