The Optimal Analysis of Default Probability for a Credit Risk Model

Aiyin Wang, Ls Yong, Weili Zeng and Yang Wang

Abstract and Applied Analysis, 2014, vol. 2014, issue 1

Abstract: 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.

Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1155/2014/878306

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2014:y:2014:i:1:n:878306

Access Statistics for this article

More articles in Abstract and Applied Analysis from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().