PhilPapers (PhilPapers Foundation) · 2015 · 33 citations · 2 references
BusinessEconomicsFinanceFinancial EconomicsFinancial Risk ManagementQuantitative FinanceCapital Asset Pricing ModelCapital MarketsCredit RiskCredit Risk AssessmentFinancial RiskMarket RiskCredit Risk ModelingJump Risk PricingJump-diffusion ModelsJump-to-default RiskMerton Model
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.
2