A Merton Model of Credit Risk with Jumps

&
Journal of Statistics Applications and Probability Letters 2 (2):97-103 (2015)
  Copy   BIBTEX

Abstract

In this note, we consider a Merton model for default risk, where the firm’s value is driven by a Brownian motion and a compound Poisson process.

Categories

Keywords

Reprint years

Links

PhilArchive

External links

  • This entry has no external links. Add one.
Setup an account with your affiliations in order to access resources via your University's proxy server

Through your library

My notes

Similar books and articles

Credit‐Default Swaps Are Not to Blame.Peter J. Wallison - 2009 - Critical Review: A Journal of Politics and Society 21 (2-3):377-387.
An implementation of statistical default logic.Gregory Wheeler & Carlos Damasio - 2004 - In Jose Alferes & Joao Leite (eds.), Logics in Artificial Intelligence (JELIA 2004). Springer.
Fixing the default position in Knobe's competence model.Joseph Ulatowski & Justus Johnson - 2010 - Behavioral and Brain Sciences 33 (4):352-353.
Valuation of electricity futures: Reduced-form vs. dynamic equilibrium models.Wolfgang Bühler & Jens Müller-Merbach - manuscript
A Resource-bounded Default Logic.Gregory Wheeler - 2004 - In J. Delgrande & T. Schaub (eds.), Proceedings of NMR 2004. AAAI.
Probabilistic logic under coherence, model-theoretic probabilistic logic, and default reasoning in System P.Veronica Biazzo, Angelo Gilio, Thomas Lukasiewicz & Giuseppe Sanfilippo - 2002 - Journal of Applied Non-Classical Logics 12 (2):189-213.
Turner on Merton.Joseph Agassi - 2009 - Philosophy of the Social Sciences 39 (2):284-293.
High-probabilities, model-preference and default arguments.Hector Geffner - 1992 - Minds and Machines 2 (1):51-70.
The Power of Goal-Directed Processes in the Causation of Emotional and Other Actions.Agnes Moors, Yannick Boddez & Jan De Houwer - 2017 - Emotion Review 9 (4):310-318.
What should default reasoning be, by default?Jeff Pelletier - unknown
Many approaches, but few arrivals: Merton and the columbia model of theory construction.Stephen Turner - 2009 - Philosophy of the Social Sciences 39 (2):174-211.
A base logic for default reasoning.Beihai Zhou & Yi Mao - 2006 - Frontiers of Philosophy in China 1 (4):688-709.
Relative uncertainty in term loan projection models: what lenders could tell risk managers.Lisa Warenski - 2012 - Journal of Experimental and Artificial Intelligence 24 (4):501-511.
Stakeholder Risk as Experienced by Non-Shareholder Stakeholders: An Ethical Analysis and Risk Magnitude Model.Whitney Davis & Harry J. Van Buren Iii - 2007 - Proceedings of the International Association for Business and Society 18:431-436.
Credit risk assessment and meta-judgment.Suzanne Pinson - 1989 - Theory and Decision 27 (1-2):117-133.

Analytics

Added to PP
2018-06-01

Downloads
573 (#31,736)

6 months
84 (#57,702)

Historical graph of downloads
How can I increase my downloads?

Citations of this work

View all 6 citations / Add more citations

References found in this work

No references found.

Add more references