a r t i c l e i n f o JEL classification: G32 G31 G33 C61 Keywords: Counterparty effect Market incompleteness Optimal capital structure This paper builds a static contingent-claim model that allows for examining the optimal capital structure with the joint arguments of counterparty default risk and market incompleteness. A first-passage-time model with jump default barrier is adopted to capture...

The model introduced in this article is designed to provide a consistent representation for both the real-world and pricing measures for the credit process. We find that good agreement with historical and market data can be achieved across all credit ratings simultaneously. The model is characterized by an underlying stochastic process that represents credit quality and default events are assoc...

In the Black-Cox model, a firm makes default when its value hits an exponential barrier. Here, we propose an hybrid model that generalizes this framework. The default intensity can take two different values and switches when the firm value crosses the barrier. Of course, the intensity level is higher below the barrier. We get an analytic formula for the Laplace transform of the default time and...

This paper develops a stress-testing model to value defaultable bonds under stressful market conditions. Default occurs when some signaling process hits a pre-defined default barrier. The signaling variable is considered to be some macro-economic variables such as foreign exchange rates. The dynamics of the default barrier depends on the volatility and the drift of the signaling variable. We de...

We develop a generalization of the Black-Cox structural model of default risk. The extended model captures uncertainty related to firm's ability to avoid default even if company's liabilities momentarily exceeding its assets. Diffusion in a linear potential with the radiation boundary condition is used to mimic a company's default process. The exact solution of the corresponding Fokker-Planck e...

We consider the finite time horizon dividend-ruin model where the firm pays out dividends to its shareholders according to a dividend-barrier strategy and becomes ruined when the firm asset value falls below the default threshold. The asset value process is modeled as a restricted Geometric Brownian process with an upper reflecting (dividend) barrier and a lower absorbing (ruin) barrier. Analyt...

the main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. we examine the dependence between pd and rr by theoretical approach. for the empirically methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression. these methods allow to determinate...

BACKGROUND Although tuberculosis (TB) is usually curable with antibiotics, poor adherence to medication can lead to increased transmission, drug resistance, and death. Prior research has shown several factors to be associated with poor adherence, but this problem remains a substantial barrier to global TB control. We studied patients in a high-incidence district of Lima, Peru to identify factor...

In this paper, we provide an efficient algorithm for the computation of default probabilities and bond prices in a structural default model with jumps. Our algorithm allows jump-diffusion processes with arbitrary jump-size distribution as a model for the logarithm of the value process of a firm. Moreover, the algorithm is unbiased and is capable of capturing stochastic recovery rates, which are...

BACKGROUND Default from multidrug-resistant tuberculosis (MDR-TB) treatment remains a major barrier to cure and epidemic control. We sought to identify patient risk factors for default from MDR-TB treatment and high-risk time periods for default in relation to hospitalization and transition to outpatient care. METHODS We retrospectively analyzed a cohort of 225 patients who initiated MDR-TB t...