Premium
The Defaultable Lévy Term Structure: Ratings and Restructuring
Author(s) -
Eberlein Ernst,
Özkan Fehmi
Publication year - 2003
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/1467-9965.00017
Subject(s) - term (time) , default , generalization , econometrics , restructuring , economics , mathematical economics , mathematics , finance , mathematical analysis , physics , quantum mechanics
We introduce the intensity‐based defaultable Lévy term structure model. It generalizes the default‐free Lévy term structure model by Eberlein and Raible, and the intensity‐based defaultable Heath‐Jarrow‐Morton approach of Bielecki and Rutkowski. Furthermore, we include the concept of multiple defaults, based on Schönbucher, within this generalization.