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Dynamic optimal capital structure with regime switching

Elliott, Robert J.; Shen, Jia - In: Annals of finance 11 (2015) 2, pp. 199-220

Persistent link: https://www.econbiz.de/10011376180

A set-valued Markov chain approach to credit default

Chen, Dianfa; Deng, Jun; Feng, Jianfen; Zou, Bin - In: Quantitative finance 20 (2020) 4, pp. 669-689

Persistent link: https://www.econbiz.de/10012194914

Defaultable term structures driven by semimartingales

Gümbel, Sandrine; Schmidt, Thorsten - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-27

Persistent link: https://www.econbiz.de/10012807871

Credit risk and contagion via self-exciting default intensity

Elliott, Robert J.; Shen, Jia - In: Annals of finance 11 (2015) 3/4, pp. 319-344

Persistent link: https://www.econbiz.de/10011459064

The regime-switching structural default risk model

Milidonis, Andreas; Chisholm, Kevin - In: Risks : open access journal 12 (2024) 3, pp. 1-33

We develop the regime-switching default risk (RSDR) model as a generalization of Merton's default risk (MDR) model. The RSDR model supports an expanded range of asset probability density functions. First, we show using simulation that the RSDR model incorporates sudden changes in asset values...

Persistent link: https://www.econbiz.de/10014497430