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• W2084547039 abstract "Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatility effects, and to study the first passage problem for such processes. We are lead to consider modifying the standard first passage problem for stochastic processes to capitalize on this time change structure and find that the distribution functions of such first passage times of the second kind are efficiently computable in a wide range of useful examples. Thus this new notion of first passage can be used to define the time of default in generalized structural credit models. Formulas for defaultable bonds and credit default swaps are given that are both efficiently computable and lead to realistic spread curves. Finally, we show that by treating joint firm value processes as dependent time changes of independent Brownian motions, one can obtain multifirm credit models with rich and plausible dynamics and enjoying the possibility of efficient valuation of portfolio credit derivatives." @default.
• W2084547039 created "2016-06-24" @default.
• W2084547039 creator A5055063252 @default.
• W2084547039 date "2009-12-01" @default.
• W2084547039 modified "2023-10-18" @default.
• W2084547039 title "CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION" @default.
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• W2084547039 doi "https://doi.org/10.1142/s0219024909005646" @default.
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