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2013 Structural Credit Risk Models with Subordinated Processes
Martin Gurny, Sergio Ortobelli Lozza, Rosella Giacometti
J. Appl. Math. 2013(SI24): 1-12 (2013). DOI: 10.1155/2013/138272

Abstract

We discuss structural models based on Merton's framework. First, we observe that the classical assumptions of the Merton model are generally rejected. Secondly, we implement a structural credit risk model based on stable non-Gaussian processes as a representative of subordinated models in order to overcome some drawbacks of the Merton one. Finally, following the KMV-Merton estimation methodology, we propose an empirical comparison between the results obtained from the classical KMV-Merton model and the stable Paretian one. In particular, we suggest alternative parameter estimation for subordinated processes, and we optimize the performance for the stable Paretian model.

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Martin Gurny. Sergio Ortobelli Lozza. Rosella Giacometti. "Structural Credit Risk Models with Subordinated Processes." J. Appl. Math. 2013 (SI24) 1 - 12, 2013. https://doi.org/10.1155/2013/138272

Information

Published: 2013
First available in Project Euclid: 14 March 2014

zbMATH: 06950530
MathSciNet: MR3092005
Digital Object Identifier: 10.1155/2013/138272

Rights: Copyright © 2013 Hindawi

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Vol.2013 • No. SI24 • 2013
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