The Optimal Analysis of Default Probability for a Credit Risk Model
A credit risk mathematical model is investigated. Under regular conditions, a different recovery scheme is proposed, which is an extension of the recovery of treasury value scheme (RTV) with time-continuous liquidation. Assuming that a function depends on the optimal time for the liquidation and the...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/878306 |
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| Summary: | A credit risk mathematical model is investigated. Under regular conditions, a different recovery scheme is proposed, which is an extension of the recovery of treasury value scheme (RTV) with time-continuous liquidation. Assuming that a function depends on the optimal time for the liquidation and the recovery rate, we obtain the functional expression of the risky bond price. When the firm value follows a jump-diffusion process with a Log-exponentially distributed jump, we develop a method to obtain the optimal default probability with time-continuous liquidation. |
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| ISSN: | 1085-3375 1687-0409 |