The Defaultable Lévy Term Structure: Ratings and Restructuring

Ernst Eberlein and Fehmi Özkan

Mathematical Finance, 2003, vol. 13, issue 2, 277-300

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.

Date: 2003
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