Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatility effects, and to study the first passage problem for such processes. We are lead to consider...

This paper presents a new approach to develop the probability of default for private firms. This work provides a global perspective regarding the credit risk prediction, starting from the work of the Basel Committee on Banking Supervision, with a deep study of the more predictive variables for...