{"product_id":"exponential-power-jump-diffusion-model-applied-to-credit-risk-von-david-clarence-gray-a-a-olosunde-und-a-a-osuntuyi","title":"Exponential Power Jump Diffusion Model Applied to Credit Risk","description":"\u003cp\u003eThis study formulated a model for the evolution of a firm¿s value, obtained the probability of a firm¿s default under the formulated model. More precisely, based on the structural approach to credit risk modeling, the dynamics of the value of the firm is assumed to be a combination of a diffusion process and a jump process driven by an exponential power distribution. Within the framework of structural models of credit risk, the Nikkie 225 asset value was modelled by a jump-diffusion process. A compound Poisson process driven by an exponential power distribution was used as the jump component to construct a jump diffusion model for the Nikkie 225 asset value and the diffusion component was modelled by a geometric Brownian process. The Itös formula for a jump-diffusion process was used to establish the solution to the proposed model. The distribution of the jump-diffusion process together with the assumption that default on the debt contract can only occur at maturity was used to obtain the probability of default of the firm.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9786204207506\"\u003e\u003ch3\u003e\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9786204207506","offer_id":39502728986717,"sku":"9786204207506","price":54.9,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/e3bc1870-05e6-48a8-847f-f9e32088910b.jpg?v=1773125335","url":"https:\/\/shop.autorenwelt.de\/products\/exponential-power-jump-diffusion-model-applied-to-credit-risk-von-david-clarence-gray-a-a-olosunde-und-a-a-osuntuyi","provider":"Autorenwelt Shop","version":"1.0","type":"link"}