The aim of this thesis is to thoroughly study structural default models based on jump-diffusion processes. Jump-diffusion models were first proposed by Zhou (2001), who also showed that these models have several desirable properties, most important, positive short-term spreads. On the other...

Empirically we test the Merton-type model (1974) of credit risk in an emerging market such as the Korean corporate bond market. For that purpose, we assume two alternative firm value processes: diffusion process for the Merton (1974) model and jump-diffusion process for our extended model in a...

We explored the effect of the jump-diffusion process on a social benefit scheme consisting of life insurance, unemployment/disability benefits, and retirement benefits. To do so, we used a four-state Markov chain with multiple decrements. Assuming independent state-wise intensities taking the...