A Structural Model for Credit Risk with Markov Modulated Lévy Processes and Synchronous Jumps

2013 ◽  
Author(s):  
Donatien Hainaut ◽  
David B. Colwell
Keyword(s):  
Credit Risk ◽  
Lévy Processes ◽  
Structural Model ◽  
Levy Processes ◽  
Markov Modulated

An intensity model for credit risk with switching Lévy processes

2013 ◽  
Vol 14 (8) ◽  
pp. 1453-1465 ◽  
Author(s):  
Donatien Hainaut ◽  
Olivier Le Courtois
Keyword(s):  
Credit Risk ◽  
Lévy Processes ◽  
Levy Processes ◽  
Intensity Model

On correlating Lévy processes

2010 ◽  
Vol 13 (1) ◽  
pp. 3-16 ◽  
Author(s):  
Ernst Eberlein ◽  
Dilip Madan
Keyword(s):  
Lévy Processes ◽  
Levy Processes

A robust test of Merton's structural model for credit risk

2003 ◽  
Vol 6 (1) ◽  
pp. 39-58 ◽  
Author(s):  
Robert Jarrow ◽  
Donald van Deventer ◽  
Xiaoming Wang
Keyword(s):  
Credit Risk ◽  
Structural Model ◽  
Robust Test
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