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- W4301476087 abstract "The intensity of a default time is obtained by assuming that the default indicator process has an absolutely continuous compensator. Here we drop the assumption of absolute continuity with respect to the Lebesgue measure and only assume that the compensator is absolutely continuous with respect to a general $sigma$-finite measure. This allows for example to incorporate the Merton-model in the generalized intensity based framework. An extension of the Black-Cox model is also considered. We propose a class of generalized Merton models and study absence of arbitrage by a suitable modification of the forward rate approach of Heath-Jarrow-Morton (1992). Finally, we study affine term structure models which fit in this class. They exhibit stochastic discontinuities in contrast to the affine models previously studied in the literature." @default.
- W4301476087 created "2022-10-05" @default.
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- W4301476087 date "2015-12-12" @default.
- W4301476087 modified "2023-09-26" @default.
- W4301476087 title "A generalized intensity based framework for single-name credit risk" @default.
- W4301476087 doi "https://doi.org/10.48550/arxiv.1512.03896" @default.
- W4301476087 hasPublicationYear "2015" @default.
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