Structural Credit Risk Models with Subordinated Processes

Figure 3

Differences between Stable Lévy model and KMV-Merton model. (a) Difference between stable ratio 𝐿/𝐴 and Gaussian ratio. (b) Difference between the stable and Gaussian distance-to-default. (c) Probabilities of default during “calm periods.” (d) Probabilities of default during the crisis.

(a)

(b)

(c)

(d)