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Structural Credit Risk Models with Subordinated Processes
Joint Authors
Gurny, Martin
Giacometti, Rosella
Ortobelli Lozza, Sergio
Source
Journal of Applied Mathematics
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-08-20
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
We discuss structural models based on Merton's framework.
First, we observe that the classical assumptions of the Merton model are generally rejected.
Secondly, we implement a structural credit risk model based on stable non-Gaussian processes as a representative of subordinated models in order to overcome some drawbacks of the Merton one.
Finally, following the KMV-Merton estimation methodology, we propose an empirical comparison between the results obtained from the classical KMV-Merton model and the stable Paretian one.
In particular, we suggest alternative parameter estimation for subordinated processes, and we optimize the performance for the stable Paretian model.
American Psychological Association (APA)
Gurny, Martin& Ortobelli Lozza, Sergio& Giacometti, Rosella. 2013. Structural Credit Risk Models with Subordinated Processes. Journal of Applied Mathematics،Vol. 2013, no. 2013, pp.1-12.
https://search.emarefa.net/detail/BIM-448731
Modern Language Association (MLA)
Gurny, Martin…[et al.]. Structural Credit Risk Models with Subordinated Processes. Journal of Applied Mathematics No. 2013 (2013), pp.1-12.
https://search.emarefa.net/detail/BIM-448731
American Medical Association (AMA)
Gurny, Martin& Ortobelli Lozza, Sergio& Giacometti, Rosella. Structural Credit Risk Models with Subordinated Processes. Journal of Applied Mathematics. 2013. Vol. 2013, no. 2013, pp.1-12.
https://search.emarefa.net/detail/BIM-448731
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-448731