A Merton Model of Credit Risk with Jumps

Hoàng Thị Phương Thảo, Quan‐Hoang Vuong

PhilPapers (PhilPapers Foundation) · 2015 · 33 citations · 2 references

Concepts

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.

References

2