Campolieti, Giuseppe; Kato, Hiromichi; Makarov, Roman - In: Risks : open access journal 10 (2022) 12, pp. 1-20
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....