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Article
A Merton Model of Credit Risk with Jumps
Journal of Statistics Applications & Probability Letters (2015)
  • Quan-Hoang Vuong, Universite Libre de Bruxelles
Abstract
In this note we consider a Merton model for default risk, where the firm’s value is driven by a Brownian motion and a compound Poisson process.
Keywords
  • Merton model,
  • default risk,
  • default probability,
  • processes with jumps
Publication Date
Spring May 15, 2015
DOI
http://dx.doi.org/10.12785/jsapl/020201
Citation Information
Quan-Hoang Vuong. "A Merton Model of Credit Risk with Jumps" Journal of Statistics Applications & Probability Letters Vol. 2 Iss. 2 (2015) p. 97 - 103
Available at: http://works.bepress.com/quan-hoang-vuong/8/