Fiorani, Filippo; Luciano, Elisa; Semeraro, Patrizia - Collegio Carlo Alberto, Università degli Studi di Torino - 2007
Structural models of credit risk are known to present both vanishing spreads at very short maturities and a poor spread fit over longer maturities. The former shortcoming, which is due to the diffusive behavior assumed for asset values, can be circumvented by considering discontinuous assets. In...