Chen, Li; Filipović, Damir - In: Finance and Stochastics 9 (2005) 2, pp. 211-231
We propose and examine a simple model for credit migration and spread curves of a single firm both under real-world and risk-neutral measures. This model is a hybrid of a structural and a reduced-form model. Default is triggered either by successive downgradings of the firm or an unpredictable...