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Since Black and Scholes (1973) and Merton (1974), structural models of credit riskhave relied almost exclusively on diffusion processes to model the evolution of firm value.While a diffusion approach is convenient, in empirical application, it has produced verydisappointing results. Jones, Mason, and Rosenfeld (1984) find that the credit spreads oncorporate bonds are too high to be matched by the diffusion approach. Also, because theinstantaneous default probability of a healthy firm is...

A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities