IDEAS home Printed from https://ideas.repec.org/a/bla/mathfi/v13y2003i2p277-300.html
   My bibliography  Save this article

The Defaultable Lévy Term Structure: Ratings and Restructuring

Author

Listed:
  • Ernst Eberlein
  • Fehmi Özkan

Abstract

We introduce the intensity‐based defaultable Lévy term structure model. It generalizes the default‐free Lévy term structure model by Eberlein and Raible, and the intensity‐based defaultable Heath‐Jarrow‐Morton approach of Bielecki and Rutkowski. Furthermore, we include the concept of multiple defaults, based on Schönbucher, within this generalization.

Suggested Citation

  • Ernst Eberlein & Fehmi Özkan, 2003. "The Defaultable Lévy Term Structure: Ratings and Restructuring," Mathematical Finance, Wiley Blackwell, vol. 13(2), pages 277-300, April.
    • Handle: RePEc:bla:mathfi:v:13:y:2003:i:2:p:277-300
    DOI: 10.1111/1467-9965.00017
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-9965.00017
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1467-9965.00017?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ernst Eberlein & Jean Jacod & Sebastian Raible, 2005. "Lévy term structure models: No-arbitrage and completeness," Finance and Stochastics, Springer, vol. 9(1), pages 67-88, January.
    2. Eckhard Platen & Stefan Tappe, 2011. "Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics," Research Paper Series 289, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Eckhard Platen & Steffan Tappe, 2015. "Real-World Forward Rate Dynamics With Affine Realizations," Published Paper Series 2015-7, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    4. Fontana, Claudio & Schmidt, Thorsten, 2018. "General dynamic term structures under default risk," Stochastic Processes and their Applications, Elsevier, vol. 128(10), pages 3353-3386.
    5. Stefan Tappe, 2019. "Existence of affine realizations for stochastic partial differential equations driven by L\'evy processes," Papers 1907.00335, arXiv.org.
    6. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2011.
    7. Damir Filipovi'c & Stefan Tappe, 2019. "Existence of L\'evy term structure models," Papers 1907.03561, arXiv.org.
    8. Uwe Kuchler & Stefan Tappe, 2019. "Bilateral Gamma distributions and processes in financial mathematics," Papers 1907.09857, arXiv.org.
    9. Francesca Biagini & Maximilian Härtel, 2014. "Behavior Of Long-Term Yields In A Lévy Term Structure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 1-24.
    10. Claudio Fontana & Thorsten Schmidt, 2016. "General dynamic term structures under default risk," Papers 1603.03198, arXiv.org, revised Nov 2017.
    11. Bielecki, Tomasz R. & Jakubowski, Jacek & Niewęgłowski, Mariusz, 2017. "Conditional Markov chains: Properties, construction and structured dependence," Stochastic Processes and their Applications, Elsevier, vol. 127(4), pages 1125-1170.
    12. Stefan Tappe, 2019. "Existence of affine realizations for L\'evy term structure models," Papers 1907.02363, arXiv.org.
    13. Özkan Fehmi & Schmidt Thorsten, 2005. "Credit risk with infinite dimensional Lévy processes," Statistics & Risk Modeling, De Gruyter, vol. 23(4/2005), pages 281-299, April.
    14. Tolulope Fadina & Thorsten Schmidt, 2018. "Ambiguity in defaultable term structure models," Papers 1801.10498, arXiv.org, revised Apr 2018.
    15. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5, July-Dece.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:13:y:2003:i:2:p:277-300. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.