The Defaultable Lévy Term Structure: Ratings and Restructuring |
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| Authors: | Ernst,Eberlein Fehmi,Ö zkan |
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| Affiliation: | 1Institute for Mathematical Stochastics, Center for Data Analysis and Modeling, University of Freiburg |
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| Abstract: | 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. |
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| Keywords: | default risk Lévy processes term structure of interest rates migration process ratings restructuring market price of risk |
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