Spectral Expansions for Credit Risk Modelling with Occupation Times

Spectral Expansions for Credit Risk Modelling with Occupation Times

We study two credit risk models with occupation time and liquidation barriers: the structural model and the hybrid model with hazard rate. The defaults within the models are characterized in accordance with Chapter 7 (a liquidation process) and Chapter 11 (a reorganization process) of the U.S. Bankr...

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Bibliographic Details
Main Authors: Giuseppe Campolieti, Hiromichi Kato, Roman N. Makarov
Format: Article
Language:English
Published: MDPI AG 2022-11-01
Series:Risks
Subjects:
credit risk models
occupation time
spectral expansions
default probability
credit default spread
hazard rate function
Online Access:https://www.mdpi.com/2227-9091/10/12/228

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