First-exit times and their applications in default risk management

Over the last two decades, default rates and market risk have increased substantially. A consequence of the growing global interlacing is a strong dependence between both individual stock returns and credit events. Risk management (especially risk diversification) is much more challenging, since. Quantitative models that assist firms to better analyse, measure, and comprehend the risks they face are required. This thesis contributes to the literature on the modeling of default risks and their dependence. As exemplary application the pricing of financial derivatives is discussed.