Dong, Xin; Zheng, Harry - In: Stochastic Processes and their Applications 125 (2015) 4, pp. 1307-1322
In this paper we discuss a credit risk model with a pure jump Lévy process for the asset value and an unobservable random barrier. The default time is the first time when the asset value falls below the barrier. Using the indistinguishability of the intensity process and the likelihood process,...