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Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process

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  • Chen, Cho-Jieh
  • Panjer, Harry

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  • Chen, Cho-Jieh & Panjer, Harry, 2003. "Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 357-380, October.
  • Handle: RePEc:eee:insuma:v:33:y:2003:i:2:p:357-380
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    1. Jones, E Philip & Mason, Scott P & Rosenfeld, Eric, 1984. "Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 39(3), pages 611-625, July.
    2. Dilip Madan & Haluk Unal, 1996. "Pricing the Risks of Default," Center for Financial Institutions Working Papers 94-16, Wharton School Center for Financial Institutions, University of Pennsylvania.
    3. Robert A. Jarrow & David Lando & Stuart M. Turnbull, 2008. "A Markov Model for the Term Structure of Credit Risk Spreads," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 18, pages 411-453, World Scientific Publishing Co. Pte. Ltd..
    4. Robert A. Jarrow & Stuart M. Turnbull, 2008. "Pricing Derivatives on Financial Securities Subject to Credit Risk," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409, World Scientific Publishing Co. Pte. Ltd..
    5. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    6. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    7. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    8. Philippe Artzner & Freddy Delbaen, 1995. "Default Risk Insurance And Incomplete Markets1," Mathematical Finance, Wiley Blackwell, vol. 5(3), pages 187-195, July.
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    Cited by:

    1. Ballestra, Luca Vincenzo & Pacelli, Graziella, 2014. "Valuing risky debt: A new model combining structural information with the reduced-form approach," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 261-271.
    2. Xiao, Weilin & Zhang, Xili, 2016. "Pricing equity warrants with a promised lowest price in Merton’s jump–diffusion model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 219-238.
    3. Schäfer, Rudi & Koivusalo, Alexander F.R., 2013. "Dependence of defaults and recoveries in structural credit risk models," Economic Modelling, Elsevier, vol. 30(C), pages 1-9.
    4. Jumbe, George, 2023. "Credit Risk Assessment Using Default Models: A Review," OSF Preprints ksb8n, Center for Open Science.
    5. Angie Elkhodiry & Joseph Paradi & Luis Seco, 2011. "Using equity options to imply credit information," Annals of Operations Research, Springer, vol. 185(1), pages 45-73, May.
    6. Hainaut, Donatien, 2020. "Credit risk modelling with fractional self-excited processes," LIDAM Discussion Papers ISBA 2020002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    7. Hainaut, Donatien, 2019. "Credit risk modelling with fractional self-excited processes," LIDAM Discussion Papers ISBA 2019027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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