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Více informací o knize Exponential Power Jump Diffusion Model Applied to Credit Risk

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Anotace knihy

This study formulated a model for the evolution of a firm's value, obtained the probability of a firm's default under the formulated model. More precisely, based on the structural approach to credit risk modeling, the dynamics of the value of the firm is assumed to be a combination of a diffusion process and a jump process driven by an exponential power distribution. Within the framework of structural models of credit risk, the Nikkie 225 asset value was modelled by a jump-diffusion process. A compound Poisson process driven by an exponential power distribution was used as the jump component to construct a jump diffusion model for the Nikkie 225 asset value and the diffusion component was modelled by a geometric Brownian process. The Ito's formula for a jump-diffusion process was used to establish the solution to the proposed model. The distribution of the jump-diffusion process together with the assumption that default on the debt contract can only occur at maturity was used to obtain the probability of default of the firm.

Parametry knihy

• Plný název: Exponential Power Jump Diffusion Model Applied to Credit Risk
• Autor: A. A. Olosunde, A. A. Osuntuyi
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 104
• EAN: 9786204207506
• ISBN: 6204207504
• ID: 37326766
• Nakladatelství: LAP LAMBERT Academic Publishing
• Hmotnost: 173 g
• Rozměry: 220 × 150 × 6 mm
• Datum vydání: 28. September 2021

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