Modeling Credit Risk in the Jump Threshold Framework

  • C.-Y. CHIU, A. KERCHEVAL
  • Published 2017

Abstract

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… (More)

Cite this paper

@inproceedings{CHIU2017ModelingCR, title={Modeling Credit Risk in the Jump Threshold Framework}, author={C.-Y. CHIU and A. KERCHEVAL}, year={2017} }