Table of Contents Author Guidelines Submit a Manuscript
Abstract and Applied Analysis
Volume 2014, Article ID 878306, 9 pages
http://dx.doi.org/10.1155/2014/878306
Research Article

The Optimal Analysis of Default Probability for a Credit Risk Model

1The School of Finance, Southwestern University of Finance and Economics, Chengdu 610074, China
2Department of Mathematics, Xinjiang University of Finance and Economics, Urumqi 830012, China

Received 2 January 2014; Accepted 9 February 2014; Published 17 March 2014

Academic Editor: Sheng-Jie Li

Copyright © 2014 Aiyin Wang et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Linked References

  1. R. C. Merton, “On the pricing of corporate debt: the risk structure of interest rates,” The Journal of Finance, vol. 29, no. 2, pp. 449–470, 1974. View at Google Scholar
  2. R. C. Merton, “Option pricing when underlying stock returns are discontinuous,” Journal of Financial Economics, vol. 3, no. 1-2, pp. 125–144, 1976. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at Scopus
  3. F. Black and J. C. Cox, “Valuing corporate securities: some effects of bond indenture provision,” The Journal of Finance, vol. 31, no. 2, pp. 351–367, 1976. View at Publisher · View at Google Scholar
  4. F. A. Lonigstaff and E. S. Schwartz, “A simple approach to valuing risky fixed and floating rate debt,” The Journal of Finance, vol. 50, no. 3, pp. 789–819, 1995. View at Publisher · View at Google Scholar
  5. H. E. Leland, “Presendential address: agency costs, risk management, and capital structure,” Journal of Finance, vol. 53, no. 4, pp. 1213–1243, 1998. View at Publisher · View at Google Scholar · View at Scopus
  6. E. P. Jones, S. P. Mason, and E. Rosenfeld, “Contingent claims analysis of corporate capital structure: an empirical investigation,” The Journal of Finance, vol. 39, pp. 611–627, 1984. View at Publisher · View at Google Scholar
  7. O. Sarig and A. Warga, “Some empirical estimates of the risk structure of interest rates,” Journal of Finance, vol. 44, no. 5, pp. 1351–1360, 1989. View at Publisher · View at Google Scholar
  8. J. S. Fons, “Using default rates to model the term structure of credit risk,” Financial Analysts Journal, vol. 50, no. 5, pp. 25–32, 1994. View at Google Scholar
  9. C. Zhou, “The term structure of credit spreads with jump risk,” Journal of Banking and Finance, vol. 25, no. 11, pp. 2015–2040, 2001. View at Publisher · View at Google Scholar · View at Scopus
  10. P. Artzner and F. Delbaen, “Default risk insurance and incomplete markets,” Mathematical Finance, vol. 5, no. 3, pp. 187–195, 1995. View at Publisher · View at Google Scholar · View at Zentralblatt MATH
  11. R. A. Jarrow and S. M. Turnbull, “Pricing derivatives on financial securities subject to credit risk,” The Journal of Finance, vol. 50, no. 1, pp. 53–86, 1995. View at Publisher · View at Google Scholar
  12. R. A. Jarrow, D. Lando, and S. M. Turnbull, “A markov model for the term structure of credit risk spreads,” The Review of Financial Studies, vol. 10, no. 2, pp. 481–523, 1997. View at Publisher · View at Google Scholar · View at Scopus
  13. D. Li, “Constructing a credit curve,” in Credit Risk: Risk Special Report, pp. 40–44, 1998. View at Google Scholar
  14. D. B. Madan and H. Unal, “Pricing the risks of default,” Review of Derivatives Research, vol. 2, no. 2-3, pp. 121–160, 1998. View at Google Scholar · View at Zentralblatt MATH · View at Scopus
  15. C.-J. Chen and H. Panjer, “Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process,” Insurance, vol. 33, no. 2, pp. 357–380, 2003. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet
  16. H. Yang, “Ruin theory in a financial corporation model with credit risk,” Insurance, vol. 33, no. 1, pp. 135–145, 2003. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet
  17. C.-J. Chen and H. Panjer, “A bridge from ruin theory to credit risk,” Review of Quantitative Finance and Accounting, vol. 32, no. 4, pp. 373–403, 2009. View at Publisher · View at Google Scholar · View at Scopus
  18. F. Dufresne and H. U. Gerber, “Risk theory for the compound Poisson process that is perturbed by diffusion,” Insurance, vol. 10, no. 1, pp. 51–59, 1991. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet
  19. H. U. Gerber and E. S. W. Shiu, “The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin,” Insurance, vol. 21, no. 2, pp. 129–137, 1997. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet