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• W3122058324 abstract "We use equity as the traded primitive for a detailed analysis of systematic default risk. Default is parsimoniously represented by equity value hitting the zero barrier so that, unlike in reduced-form models, the explicit linkage to the firm's capital structure is preserved, but, unlike in structural models, restrictive assumptions on the structure are avoided. Default risk is either jump-like or diffusive. The equity price can jump to default. In line with recent empirical evidence on the jump-to-default risk price, we highlight how reasonable choices of the pricing kernel can imply remarkable differences in the equity-price-dependent status between the objective default intensity and the risk-neutral intensity. As equity returns experience negative diffusive shocks, their CEV-type local variance increases and boosts the objective and risk-neutral probabilities of diffusive default. A parsimonious version of our general model simultaneously enables analytical credit-risk management and analytical pricing of credit-sensitive instruments. Easy cross-asset hedging ensues." @default.
• W3122058324 created "2021-02-01" @default.
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• W3122058324 date "2009-01-01" @default.
• W3122058324 modified "2023-10-11" @default.
• W3122058324 title "Systematic equity-based credit risk: A CEV model with jump to default" @default.
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• W3122058324 doi "https://doi.org/10.1016/j.jedc.2008.03.011" @default.
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