Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - Finance Discipline Group, Business School - 2008
. The default event is modelled using the Cox process where the stochastic intensity represents the credit spread. The …
Inthispaperasimulationapproachfordefaultableyieldcurvesisdevelopedwithin
the Heath et al. (1992) framework. The default event is modelled using the Cox pro-
cess where the stochastic … event derives from the evolution of the firm’s assets
and it is completely specified in an endogenous way.
In Merton (1974 …