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Anglický jazyk
Exponential Power Jump Diffusion Model Applied to Credit Risk
Autor: David Clarence Gray
This study formulated a model for the evolution of a firm's value, obtained the probability of a firm's default under the formulated model. More precisely, based on the structural approach to credit risk modeling, the dynamics of the value of the firm is... Viac o knihe
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O knihe
This study formulated a model for the evolution of a firm's value, obtained the probability of a firm's default under the formulated model. More precisely, based on the structural approach to credit risk modeling, the dynamics of the value of the firm is assumed to be a combination of a diffusion process and a jump process driven by an exponential power distribution. Within the framework of structural models of credit risk, the Nikkie 225 asset value was modelled by a jump-diffusion process. A compound Poisson process driven by an exponential power distribution was used as the jump component to construct a jump diffusion model for the Nikkie 225 asset value and the diffusion component was modelled by a geometric Brownian process. The Ito's formula for a jump-diffusion process was used to establish the solution to the proposed model. The distribution of the jump-diffusion process together with the assumption that default on the debt contract can only occur at maturity was used to obtain the probability of default of the firm.
- Vydavateľstvo: LAP LAMBERT Academic Publishing
- Rok vydania: 2021
- Formát: Paperback
- Rozmer: 220 x 150 mm
- Jazyk: Anglický jazyk
- ISBN: 9786204207506
