Structural credit risk models with Lévy processes: The VG and NIG cases

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86095454" target="_blank" >RIV/61989100:27510/15:86095454 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.17654/FJMSMay2015_101_119" target="_blank" >http://dx.doi.org/10.17654/FJMSMay2015_101_119</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.17654/FJMSMay2015_101_119" target="_blank" >10.17654/FJMSMay2015_101_119</a>

Result language
angličtina
Original language name
Structural credit risk models with Lévy processes: The VG and NIG cases
Original language description
We propose alternative structural credit risk models for determining probabilities of default (PDs) based on two well-known Lévy processes - the Variance Gamma (VG) process and the Normal Inverse Gaussian (NIG) process, respectively. In particular, usingLévy processes, we propose a methodology to overcome the distributional drawbacks of the classical Merton model. Therefore, we discuss an empirical comparison of estimated PDs obtained from the VG and the NIG models on a dataset of 24 companies with strong capitalization in the US market. The empirical evidence suggests that both the models are able to capture the situation of instability that affects each company in considered period and, in fact, are very sensitive to the periods of the financial crisis.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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