| structural credit risk model under stochastic interest rate and stochastic volatility with jumps |
| کد مقاله : 1087-FEMATH5 |
| نویسندگان: |
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سپیده دبستانی *1، عبدالساده نیسی2 1تهران نو- میدان چایچی- خ صائب تبریزی- پ 84- واحد 5 2عضو هیات علمی داشنگاه علامه گروه ریاضی |
| چکیده مقاله: |
| One of the most important issues of rating industry and management of credit risk is the estimation of default probability under models that are closer to the reality of the financial market. In generally, the models that are used for credit risk modeling , include structural models, reduced-form models, regression models, artificial network models, and etc. In this work, we present an extension of the Merton's structural model, where the volatility of the firm's asset value be considered a stochastic processs. since sudden events in reality cause important changes on the view on the probability of default, we add jumps in the dynamic of firm's asset value. For these, asset value process follow from jump-diffusion version of Heston model. In addition, current asset value changes over time to maturity and this is due to the changes of interest rate, thus interest rate is considered to be a stochastic processes, where is driven by the Cox-Ingersoll-Ross model. We consider nonzero correlations between asset value process and each one of the interest rate and volatility processes. Using Monte Carlo simulation, we estimate default probability. |
| کلیدواژه ها: |
| Structural credit risk model, Stochastic volatility, Stochastic interest rate, jump-diffusion model, Monte Carlo simulation |
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